Browsing by Author "Shi, Lei"

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Browsing by Author "Shi, Lei"

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  • He, Xuezhong; Shi, Lei (Blackwell Publishing, 2012)
    When people agree to disagree, the impact of the disagreement among agents on the market is the main concern of this paper. With the standard mean variance framework, this paper considers a market of two risky assets and ...
  • He, Xuezhong; Shi, Lei (Elsevier, 2012)
    When people agree to disagree, how does the disagreement affect asset prices? Within an equilibrium framework with two agents, two risky assets and a riskless bond, we analyze the joint impact of disagreement about expected ...
  • He, Xuezhong; Shi, Lei (Blackwell, 2012)
    This paper provides a simple framework to study the effect of disagreement in a multi-asset market equilibrium by considering two agents who disagree about expected returns, variances, and correlation of returns of two ...
  • He, Xuezhong; Shi, Lei (Springer, 2011)
    Within the framework of Chiarella et al (2009b) on MV analysis, this paper examines the impact of the heterogeneity and bounded rationality on the market equilibrium and MV efficiency of the optimal portfolios. The ...
  • Shi, Lei (2013)
    Place classification is an emerging theme in the study of human-robot interaction which requires common understanding of human-defined concepts between the humans and machines. The requirement posts a significant challenge ...
  • Platen, Eckhard; Shi, Lei (Routledge, 2013)
    When simulating discrete-time approximations of solutions of stochastic differential equations (SDEs), in particular martingales, numerical stability is clearly more important than some higher order of convergence. ...
  • Shi, Lei (2010)
    The representative agent paradigm with homogeneous expectations has been the dominant framework for the development of theories in portfolio analysis, equilibrium asset pricing and derivative pricing. Homogeneous ...
  • He, Xuezhong; Shi, Lei (World Scientific, 2010)
    In the standard mean variance (MV) capital asset pricing model (CAPM) with homogeneous beliefs, the optimal portfolios of investors are MV efficient. It is expected that this is no longer true in general when investors ...