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Details about Lei Shi

E-mail:
Homepage:http://www.business.uts.edu.au/finance/research/students/Lei_Shi.html
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Lei Shi.

Last updated 2017-09-28. Update your information in the RePEc Author Service.

Short-id: psh331


Jump to Journal Articles

Working Papers

2014

  1. A Behavioural Model of Investor Sentiment in Limit Order Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  2. Position-Limit Design for the CSI 300 Futures Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads

2012

  1. Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  2. Heterogeneous Beliefs and the Cross-Section of Asset Returns
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  3. Heterogeneous Beliefs and the Performances of Optimal Portfolios
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads

2010

  1. Differences in Opinion and Risk Premium
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)

2009

  1. Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)

2008

  1. Heterogeneity, Bounded Rationality and Market Dysfunctionality
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  2. On the Numerical Stability of Simulation Methods for SDES
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)

Journal Articles

2017

  1. Index portfolio and welfare analysis under heterogeneous beliefs
    Journal of Banking & Finance, 2017, 75, (C), 64-79 Downloads View citations (2)

2016

  1. Consumption-based CAPM with belief heterogeneity
    Journal of Economic Dynamics and Control, 2016, 65, (C), 30-46 Downloads View citations (2)

2015

  1. Position limit for the CSI 300 stock index futures market
    Economic Systems, 2015, 39, (3), 369-389 Downloads View citations (4)

2013

  1. On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
    Quantitative Finance, 2013, 13, (2), 183-194 Downloads View citations (1)

2012

  1. Boundedly rational equilibrium and risk premium
    Accounting and Finance, 2012, 52, (1), 71-93 Downloads View citations (3)
  2. Disagreement in a Multi-Asset Market
    International Review of Finance, 2012, 12, (3), 357-373 Downloads View citations (3)
  3. Disagreement, correlation and asset prices
    Economics Letters, 2012, 116, (3), 512-515 Downloads View citations (2)
 
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