Suivre
Xue Dong He
Titre
Citée par
Citée par
Année
Portfolio choice under cumulative prospect theory: An analytical treatment
XD He, XY Zhou
Management Science 57 (2), 315-331, 2011
3472011
Portfolio choice via quantiles
XD He, XY Zhou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
1802011
Optimal insurance design under rank‐dependent expected utility
C Bernard, X He, JA Yan, XY Zhou
Mathematical Finance 25 (1), 154-186, 2015
1222015
Hope, fear, and aspirations
XD He, XY Zhou
Mathematical Finance 26 (1), 3-50, 2016
592016
Profit sharing in hedge funds
XD He, S Kou
Mathematical Finance 28 (1), 50-81, 2018
572018
Loss-based risk measures
R Cont, R Deguest, XD He
Statistics & Risk Modeling 30 (2), 133-167, 2013
562013
On the equilibrium strategies for time-inconsistent problems in continuous time
XD He, ZL Jiang
SIAM Journal on Control and Optimization 59 (5), 3860-3886, 2021
542021
Dynamic portfolio choice when risk is measured by weighted VaR
XD He, H Jin, XY Zhou
Mathematics of Operations Research 40 (3), 773-796, 2015
452015
Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence
J Guo, XD He
SSRN, 2018
31*2018
Myopic loss aversion, reference point, and money illusion
XD He, XY Zhou
Quantitative Finance 14 (9), 1541-1554, 2014
302014
Equilibrium asset pricing with Epstein-Zin and loss-averse investors
J Guo, XD He
Journal of Economic Dynamics and Control 76, 86-108, 2017
272017
Rank-dependent utility and risk taking in complete markets
XD He, R Kouwenberg, XY Zhou
SIAM Journal on Financial Mathematics 8 (1), 214-239, 2017
262017
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
XD He, MS Strub, T Zariphopoulou
Mathematical Finance 31 (2), 683-721, 2021
242021
Realization utility with adaptive reference points
X He, L Yang
Mathematical Finance 29 (2), 409-447, 2019
232019
Risk measures: robustness, elicitability, and backtesting
XD He, S Kou, X Peng
Annual Review of Statistics and Its Application 9, 141-166, 2022
202022
Optimal exit time from casino gambling: Strategies of precommitted and naive gamblers
XD He, S Hu, J Obłój, XY Zhou
SIAM Journal on Control and Optimization 57 (3), 1845-1868, 2019
182019
Path-dependent and randomized strategies in barberis’ casino gambling model
XD He, S Hu, J Obłój, XY Zhou
Operations Research 65 (1), 97-103, 2017
18*2017
Who are I: Time inconsistency and intrapersonal conflict and reconciliation
XD He, XY Zhou
Stochastic Analysis, Filtering, and Stochastic Optimization: A Commemorative …, 2022
172022
Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth
X He, Z Jiang
Available at SSRN 3084657, 2019
17*2019
How endogenization of the reference point affects loss aversion: a study of portfolio selection
XD He, MS Strub
Operations Research 70 (6), 3035-3053, 2022
152022
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