史云｜东北大学｜学者主页

期刊论文

2026

Information Transmission Across Markets: Tail Risk Spillovers and Cross-Market Volatility Forecasting

Shaocong Peng, Yun Shi

Mathematics

DOI

2026

Discrete-time mean-variance strategy based on reinforcement learning

Yun Shi, Si Zhao, Xun Li, Xiang-Yu Cui

Journal of the Operational Research Society

DOI

2026

Entropy Regularization under No-Shorting: Structure Preservation and Convexity in Dynamic Mean-Variance Portfolio Selection

Xin-Yu-Guo-Lei-Lei-,-Dong-Xiao-Yu-,-Li-Da-Wei Cui, Xun Li, Zi-Yang Li, Yun Shi

2025

Dynamic Factor Model-Based Multiperiod Mean-Variance Portfolio Selection with Portfolio Constraints

Jian-Jun Gao, Chengneng Jin, Yun Shi, Xiang-Yu Cui

IEEE Transactions on Automatic Control

DOI

2024

Multi-period portfolio choice under loss aversion with dynamic reference point in serially correlated market

Jianjun Gao, Yaoming Li, Yun Shi, Jinyan Xie

Omega-International Journal Of Management Science，Vol. 127

DOI

2024

Code and Data Repository for Decision Making Under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers

Xiangyu Cui, Rujun Jiang, Yun Shi, Ru-Feng Xiao, Yifan Yan

INFORMS journal on computing

DOI

2023

Beta and Coskewness Pricing: Perspective from Probability Weighting

Yun Shi, Xiangyu Cui, Xun Yu Zhou

Operations Research，Vol. 71, No. 20

DOI

2022

Survey on Multi-period Mean–Variance Portfolio Selection Model

Xiang-Yu Cui, Jian-Jun Gao, Xun Li, Yun Shi

Journal of the Operations Research Society of China

DOI

2022

Hybrid strategy in multiperiod mean-variance framework

Xiang-Yu Cui, Duan Li, Yun Shi, Mingjia Zhu

Optimization Letters

DOI

2022

Portfolio Optimization under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers

Yi-Fan Yan, Rujun Jiang, Yun Shi, Xiang-Yu Cui

2021

Timing Prediction Error Volatility and Dynamic Asset Allocation

Yun Shi

Journal of Systems Science and Systems Engineering

DOI

2021

Decision-making under Market Indeterminacy

Yun Shi

Journal of Finance Research

DOI

2020

Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk

Mengya Xue, Yun Shi, Hai-Lin Sun

Journal of Industrial and Management Optimization

DOI

2018

Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion

Liu-Meng Peng, Xiang-Yu Cui, Yun Shi

DOI

2017

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

Xiang-Yu Cui, Duan Li, Yun Shi

DOI

2017

Better than pre-committed optimal mean-variance policy in a jump diffusion market

Yun Shi, Xun Li, Xiang-Yu Cui

Mathematical Methods of Operations Research

DOI

2017

Time Inconsistency and Self-Control Optimization Problems: Progress and Challenges

Yun Shi, Xiang-Yu Cui

DOI

2016

Dynamic revised mean-variance policy in a market without riskless asset

Yiqing Gao, Xiang-Yu Cui, Yun Shi, Liu-Meng Peng

Chinese Control and Decision Conference

DOI

2015

Multiperiod Mean-CVaR Portfolio Selection

Xiang-Yu Cui, Yun Shi

Modelling, Computation and Optimization in Information Systems and Management Sciences

DOI

2015

Optimal multi-period mean-variance policy with management costs

Xiang-Yu Cui, Jian-Jun Gao, Yun Shi

Chinese Control and Decision Conference

DOI

2015

Behavioral Portfolio Optimization with Social Reference Point

Yun Shi, Duan Li, Xiang-Yu Cui

Modelling, Computation and Optimization in Information Systems and Management Sciences

DOI

2014

Discrete-Time Behavioral Portfolio Selection Under Prospect Theory

Yun Shi, Xiang-Yu Cui, Duan Li

DOI

2014

Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation

Xiang-Yu Cui, Xun Li, Duan Li, Yun Shi

DOI

2014

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

Xiang-Yu Cui, Duan Li, Yun Shi

DOI

会议论文

2023

Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

Qian Li, Xiangyu Cui, Yun Shi

《第35届中国控制与决策会议论文集（4）》

DOI

史云

精选作品

期刊论文

Information Transmission Across Markets: Tail Risk Spillovers and Cross-Market Volatility Forecasting

Discrete-time mean-variance strategy based on reinforcement learning

Entropy Regularization under No-Shorting: Structure Preservation and Convexity in Dynamic Mean-Variance Portfolio Selection

Dynamic Factor Model-Based Multiperiod Mean-Variance Portfolio Selection with Portfolio Constraints

Multi-period portfolio choice under loss aversion with dynamic reference point in serially correlated market

Code and Data Repository for Decision Making Under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers

Beta and Coskewness Pricing: Perspective from Probability Weighting

Survey on Multi-period Mean–Variance Portfolio Selection Model

Hybrid strategy in multiperiod mean-variance framework

Portfolio Optimization under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers

Timing Prediction Error Volatility and Dynamic Asset Allocation

Decision-making under Market Indeterminacy

Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk

Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion

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

Better than pre-committed optimal mean-variance policy in a jump diffusion market

Time Inconsistency and Self-Control Optimization Problems: Progress and Challenges

Dynamic revised mean-variance policy in a market without riskless asset

Multiperiod Mean-CVaR Portfolio Selection

Optimal multi-period mean-variance policy with management costs

Behavioral Portfolio Optimization with Social Reference Point

Discrete-Time Behavioral Portfolio Selection Under Prospect Theory

Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation

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

会议论文

Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

研究方向