基于期权信息的预测与投资组合选择研究

71671106
2016
G0114.金融工程
崔翔宇
面上项目
副教授
上海财经大学
49万元
VIX指数;期权信息;基本资产预测;展望理论;动态投资组合选择
2017-01-01到2020-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 Better than pre-committed optimal mean-variance policy in a jump diffusion market 期刊论文 Shi Yun;Li Xun;Cui Xiangyu
2 Dynamic mean-VaR portfolio selection in continuous time 期刊论文 Zhou Ke;Gao Jiangjun;Li Duan;Cui Xiangyu
3 Alleviating Time Inconsistent Behaviors via a Competition Scheme 期刊论文 Cui Xiangyu;Shi Yun;Xu Lu
4 Volatility analysis with realized GARCH-Itô models 期刊论文 Song Xinyu;Kim Donggyu;Yuan Huiling;Cui Xiangyu;Lu Zhiping;Zhou Yong;Wang Yazhen
5 Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion 期刊论文 Peng Liumeng;Cui Xiangyu;Shi Yun
6 A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time 期刊论文 Cui Xiangyu;Li Xun;Wu Xianping;Yi Lan
7 Time consistent behavioral portfolio policy for dynamic mean-variance formulation 期刊论文 Cui Xiangyu;Li Xun;Li Duan;Shi Yun
8 Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem 期刊论文 Cui Xiangyu;Li Xun;Yang Lanzhi
9 Self-coordination in time inconsistent stochastic decision problems: A planner-doer game framework 期刊论文 Cui Xiangyu;Li Duan;Shi Yun
10 Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection 期刊论文 Cui Xiangyu;Gao Jianjun;Shi Yun;Zhu Shushang
11 Multi-period mean–variance portfolio optimization with management fees 期刊论文 Cui Xiangyu;Gao Jianjun;Shi Yun
12 Time Inconsistency and Self-Control Optimization Problems: Progress and Challenges 专著 Shi Yun;Cui Xiangyu
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