Yun Shi

East China Normal University - Academy of Statistics and Interdisciplinary Sciences, Faculty of Economics and Management

Prof.

North Zhongshan Road Campus

3663 N. Zhongshan Rd.

Shanghai , 200062

China

SCHOLARLY PAPERS

2

DOWNLOADS

91

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

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 (450,214)

Abstract:

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Probability weighting, Beta, Coskewness, Asset Pricing

2.

Timing Idiosyncratic Volatility and Dynamic Asset Allocation

Number of pages: 56 Posted: 12 May 2020 Last Revised: 09 Jun 2020
Yun Shi
East China Normal University - Academy of Statistics and Interdisciplinary Sciences, Faculty of Economics and Management
Downloads 39 (505,048)

Abstract:

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Idiosyncratic volatility, dynamic asset allocation, transaction cost, return predictability, volatility timing