Xun Li 0002 - researchr alias

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Viewing Publication 1 - 12 from 12

2023

Linear quadratic optimal control for time-delay stochastic system with partial informationWenjing Wang, Liang Xu 0005, Juanjuan Xu, Xun Li 0002, Huanshui Zhang. ijsysc, 54(10):2227-2238, July 2023. [doi]

Mean-variance portfolio selection under no-shorting rules: A BSDE approachLiangquan Zhang, Xun Li 0002. scl, 177:105545, July 2023. [doi]

2022

Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning MethodNa Li 0006, Xun Li 0002, Jing Peng, Zuo Quan Xu. tac, 67(9):5009-5016, 2022. [doi]

2020

Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approachXun Li 0002, Xianping Wu, Haixiang Yao. jors, 71(10):1563-1580, 2020. [doi]

Better than optimal mean-variance portfolio policy in multi-period asset-liability management problemXiangyu Cui, Xun Li 0002, Lanzhi Yang. orl, 48(6):693-696, 2020. [doi]

An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time HorizonChonghu Guan, Xun Li 0002, Wenxin Zhou. siamfm, 11(2):411-436, 2020. [doi]

Equilibrium Solutions of Multiperiod Mean-Variance Portfolio SelectionYuan-Hua Ni, Xun Li 0002, Ji-Feng Zhang, Miroslav Krstic. tac, 65(4):1716-1723, 2020. [doi]

On continuous-time constrained stochastic linear-quadratic controlWeiping Wu, Jianjun Gao 0001, Junguo Lu, Xun Li 0002. automatica, 114:108809, 2020. [doi]

2019

Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic ProblemYuan-Hua Ni, Xun Li 0002, Ji-Feng Zhang, Miroslav Krstic. siamco, 57(1):533-569, 2019. [doi]

2018

A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit timeXiangyu Cui, Xun Li 0002, Xianping Wu, Lan Yi. jors, 69(4):487-499, 2018. [doi]

2017

Time consistent behavioral portfolio policy for dynamic mean-variance formulationXiangyu Cui, Xun Li 0002, Duan Li 0002, Yun Shi. jors, 68(12):1647-1660, 2017. [doi]

Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problemsJianhui Huang, Xun Li 0002, Tianxiao Wang. scl, 110:15-20, 2017. [doi]

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