Details about Lei Shi

Access statistics for papers by Lei Shi.

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

Short-id: psh331

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 View citations (2)
2. Position-Limit Design for the CSI 300 Futures Markets
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2012

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

2010

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

2009

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

2008

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

Journal Articles

2017

1. Index portfolio and welfare analysis under heterogeneous beliefs
   Journal of Banking & Finance, 2017, 75, (C), 64-79 View citations (3)

2016

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

2015

3. Position limit for the CSI 300 stock index futures market
   Economic Systems, 2015, 39, (3), 369-389 View citations (5)

2013

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

2012

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