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accessRights:"restricted"
subject:"Portfolio-Management"
~person:"Li, Duan"
~person:"Yao, Haixiang"
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Portfolio-Management
Theorie
25
Theory
25
Portfolio selection
19
Mathematical programming
8
Mathematische Optimierung
8
Stochastic process
4
Stochastischer Prozess
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Li, Duan
Yao, Haixiang
Escobar, Marcos
22
Fabozzi, Frank J.
21
Wang, Ruodu
16
Forsyth, Peter A.
14
Wong, Wing Keung
14
Prigent, Jean-Luc
13
Uppal, Raman
13
Vanduffel, Steven
12
Zagst, Rudi
12
Bernard, Carole
11
Cui, Xiangyu
11
Kwon, Roy H.
11
Lee, Cheng F.
11
Liang, Zongxia
11
Soner, Halil Mete
11
Tan, Ken Seng
11
Capponi, Agostino
10
Chen, An
10
Chen, Zhiping
10
Muhle-Karbe, Johannes
10
Righi, Marcelo Brutti
10
Wong, Hoi Ying
10
Dai, Min
9
Jang, Bong-Gyu
9
Kim, Woo Chang
9
Ledoit, Olivier
9
Li, Zhongfei
9
Post, Thierry
9
Wolf, Michael
9
Dai, Zhifeng
8
Guan, Guohui
8
Kim, Jang Ho
8
Li, Bin
8
Li, Danping
8
Li, Xun
8
Rüschendorf, Ludger
8
Guasoni, Paolo
7
Levy, Haim
7
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European journal of operational research : EJOR
3
Insurance / Mathematics & economics
3
Journal of the Operational Research Society
2
Journal of the Operational Research Society : OR
2
Economic modelling
1
INFORMS journal on computing : JOC
1
International journal of theoretical and applied finance
1
International review of financial analysis
1
Journal of economic dynamics & control
1
Journal of empirical finance
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
19
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1
Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, Hezhi
;
Chen, Yuanyuan
;
Zhang, Xianye
;
Li, Duan
; …
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 36-89
Persistent link: https://www.econbiz.de/10014471144
Saved in:
2
Time consistent in efficiency dynamic mean-variance policy
Shi, Yun
;
Li, Duan
;
Cui, Xiangyu
- In:
Journal of the Operational Research Society
74
(
2023
)
1
,
pp. 195-208
Persistent link: https://www.econbiz.de/10014231704
Saved in:
3
Dynamic trading with uncertain exit time and transaction costs in a general Markov market
Yao, Haixiang
;
Li, Danping
;
Wu, Huiling
- In:
International review of financial analysis
84
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013472813
Saved in:
4
Partial moments and indexation investment strategies
Huang, Jinbo
;
Li, Yong
;
Yao, Haixiang
- In:
Journal of empirical finance
67
(
2022
),
pp. 39-59
Persistent link: https://www.econbiz.de/10013464372
Saved in:
5
A note on monotone mean-variance preferences for continuous processes
Strub, Moris S.
;
Li, Duan
- In:
Operations research letters
48
(
2020
)
4
,
pp. 397-400
Persistent link: https://www.econbiz.de/10012294747
Saved in:
6
Multi-period asset-liability management with cash flows and probability constraints : a mean-field formulation approach
Li, Xun
;
Wu, Xianping
;
Yao, Haixiang
- In:
Journal of the Operational Research Society
71
(
2020
)
10
,
pp. 1563-1580
Persistent link: https://www.econbiz.de/10012314367
Saved in:
7
Quadratic convex reformulation for quadratic programming with linear on-off constraints
Wu, Baiyi
;
Li, Duan
;
Jiang, Rujun
- In:
European journal of operational research : EJOR
274
(
2019
)
3
,
pp. 824-836
Persistent link: https://www.econbiz.de/10011990236
Saved in:
8
Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Chen, Zhiping
;
Wang, Liyuan
;
Chen, Ping
;
Yao, Haixiang
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012153045
Saved in:
9
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
Saved in:
10
Portfolio optimization with nonparametric value at risk : a block coordinate descent method
Cui, Xueting
;
Sun, Xiaoling
;
Zhu, Shushang
;
Jiang, Rujun
; …
- In:
INFORMS journal on computing : JOC
30
(
2018
)
3
,
pp. 454-471
Persistent link: https://www.econbiz.de/10011948064
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