Xiangyu Cui

Shanghai University of Finance and Economics - School of Statistics and Management

777 Guoding Road

Shanghai, Shanghai 200433

China

SCHOLARLY PAPERS

14

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1,257

SSRN CITATIONS
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SSRN RANKINGS

Top 32,647

in Total Papers Citations

16

CROSSREF CITATIONS

9

Scholarly Papers (14)

1.

Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising

Number of pages: 32 Posted: 06 Nov 2019 Last Revised: 22 Feb 2021
Xiangyu Cui, Duan Li, Xiao Qiao and Moris Simon Strub
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong, Paraconic Technologies US Inc. and Southern University of Science and Technology - Division of Information Systems and Management Engineering
Downloads 215 (170,370)

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mean-risk optimization; mean-variance; expected utility maximization; portfolio choice; risk; potential; asset allocation; robo-advising; FinTech

2.

Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR

Number of pages: 25 Posted: 22 Sep 2017
Southern University of Science and Technology - Division of Information Systems and Management Engineering, Chinese University of Hong Kong, Shanghai University of Finance and Economics - School of Statistics and Management and Shanghai University of Finance and Economics
Downloads 164 (216,914)
Citation 5

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Mean-Risk Portfolio Choice, Conditional Value-At-Risk, Optimal Investment Strategies, Time-Inconsistency, Time-Consistency Induced Risk Measure, Equity Premium Puzzle

3.

Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation

Number of pages: 20 Posted: 14 Aug 2014
Xiangyu Cui, Xun Li, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University, Chinese University of Hong Kong and Shanghai University
Downloads 136 (253,050)
Citation 2

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risk aversion, mean-variance formulation, time consistent behavior portfolio policy.

4.

Dynamic Mean-VaR Portfolio Selection in Continuous Time

Number of pages: 27 Posted: 07 Jun 2016
Ke Zhou, Jianjun Gao, Duan Li and Xiangyu Cui
Hunan University - Business School, Shanghai University of Finance and Economics, Chinese University of Hong Kong and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 129 (263,393)
Citation 2

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Dynamic portfolio selection, Value-at-risk, Quantile Method

5.

Discrete-Time Behavioral Portfolio Selection Under Prospect Theory

Number of pages: 57 Posted: 15 Aug 2014
Yun Shi, Xiangyu Cui and Duan Li
Shanghai University, Shanghai University of Finance and Economics - School of Statistics and Management and Chinese University of Hong Kong
Downloads 127 (266,454)
Citation 5

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6.

Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

Accepted by IEEE Transactions on Automatic Control, Forthcoming
Number of pages: 29 Posted: 11 Apr 2014 Last Revised: 19 Apr 2020
Xiangyu Cui, Xun Li and Duan Li
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University and Chinese University of Hong Kong
Downloads 127 (266,454)
Citation 2

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Stochastic optimal control, mean-field formulation, multi-period portfolio selection, multi-period mean-variance formulation, intertemporal restrictions, risk control over bankruptcy

7.

Time Inconsistency, Self-Control and Internal Harmony: A Planner-Doer Game Framework

Number of pages: 66 Posted: 19 Jun 2014
Xiangyu Cui, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong and Shanghai University
Downloads 92 (332,588)

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time inconsistency, self-control, planner-doer game framework, commitment by punishment, cost of self-control, cognitive resources, dynamic mean-variance model

8.

A Mean-Field Formulation for Optimal Multi-Period Asset-Liability Mean-Variance Portfolio Selection with an Uncertain Exit Time

Number of pages: 21 Posted: 26 Oct 2015
Xiangyu Cui, Xun Li, Xianping Wu and Lan Yi
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University, Hong Kong Polytechnic University and Jinan University - Management School
Downloads 91 (334,851)
Citation 3

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mean-field formulation, multi-period portfolio selection, asset-liability management, uncertain exit time

9.

Better Than Pre-Committed Optimal Mean-Variance Policy in a Jump Diffusion Market

Number of pages: 20 Posted: 15 Aug 2014
Xiangyu Cui, Yun Shi and Xun Li
Shanghai University of Finance and Economics - School of Statistics and Management, Shanghai University and Hong Kong Polytechnic University
Downloads 55 (440,347)

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mean field approach, pre-committed optimal mean-variance policy, jump diffusion market, time consistency in efficiency, semi-self-financing revised policy

10.

Beta and Coskewness Pricing: Perspective from Probability Weighting

Number of pages: 58 Posted: 12 May 2020 Last Revised: 03 Jun 2020
Yun Shi, Xiangyu Cui and Xun Yu Zhou
East China Normal University - Academy of Statistics and Interdisciplinary Sciences, Faculty of Economics and Management, Shanghai University of Finance and Economics - School of Statistics and Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 52 (451,476)

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Probability weighting, Beta, Coskewness, Asset Pricing

11.

Mean-Variance Policy for Discrete-Time Cone Constrained Markets: Time Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

Number of pages: 37 Posted: 18 Mar 2014 Last Revised: 19 Apr 2020
Xiangyu Cui, Duan Li and Xun Li
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong and Hong Kong Polytechnic University
Downloads 35 (525,571)
Citation 6

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cone constrained market, discrete-time mean-variance policy, time consistency in efficiency, minimum-variance signed supermartingale measure

12.

Resolving Time Inconsistency in Financial Decision Problems With Non-Expectation Operator: From Internal Conflict to Internal Harmony by Strategy of Self-Coordination

Number of pages: 35 Posted: 10 Mar 2018
Xiangyu Cui, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong and Shanghai University
Downloads 33 (535,916)

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Time Inconsistency; Dual-Self Game Model; Commitment by Punishment; Strategy of Self-Coordination

13.

Mean‐Variance Policy for Discrete‐Time Cone‐Constrained Markets: Time Consistency in Efficiency and the Minimum‐Variance Signed Supermartingale Measure

Mathematical Finance, Vol. 27, Issue 2, pp. 471-504, 2017
Number of pages: 34 Posted: 28 May 2020
Xiangyu Cui, Duan Li and Xun Li
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong and Hong Kong Polytechnic University
Downloads 1 (763,533)
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cone‐constrained market, discrete‐time mean‐variance policy, time consistency in efficiency, minimum‐variance signed supermartingale measure

14.

Time Consistent Behavioral Portfolio Policy for Dynamic Mean–Variance Formulation

Journal of the Operational Research Society, Vol. 68, Issue 12, 2017
Number of pages: 14 Posted: 24 Apr 2018
Xiangyu Cui, Xun Li, Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Shanghai University
Downloads 0 (781,315)
Citation 1
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investment analysis, state-dependent risk aversion, dynamic mean–variance formulation, time consistency, behavioral portfolio policy