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person:"Blake, David"
~isPartOf:"European journal of operational research : EJOR"
~person:"Hens, Thorsten"
~person:"Li, Duan"
~person:"Wermers, Russ"
~subject:"Mathematische Optimierung"
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Mathematische Optimierung
Portfolio selection
6
Portfolio-Management
6
Theorie
6
Theory
6
Mathematical programming
4
Risiko
2
Risk
2
Stochastic process
2
Stochastischer Prozess
2
Conditional value at risk
1
Dynamic mean-risk portfolio selection
1
Dynamic programming
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Dynamische Optimierung
1
Erwartungsnutzen
1
Expected utility
1
Expected utility maximization
1
Integer programming
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Interest rate
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Lagrangian duality
1
Martingal
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Martingale
1
Martingale approach
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Mixed integer quadratic programming
1
Mixed-integer quadratic program
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Multi-period mean-variance formulation
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Multi-period mean-variance portfolio selection
1
Multi-period portfolio selection
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Nichtlineare Optimierung
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No-shorting
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Nonlinear programming
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On-off constraint
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Probabilistic constraint
1
Quadratic convex reformulation
1
Quadratic programming
1
Risikomanagement
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Risikomaß
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Risk management
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Blake, David
Hens, Thorsten
Li, Duan
Wermers, Russ
Steuer, Ralph E.
7
Utz, Sebastian
4
Wimmer, Maximilian
3
Zhang, Wei-guo
3
Bodnar, Taras
2
Chen, Jingnan
2
Date, P.
2
Fliege, Jörg
2
Gao, Jianjun
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Grechuk, Bogdan
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Hirschberger, Markus
2
Levy, Moshe
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Liesiö, Juuso
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Mansini, Renata
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Mavrotas, George
2
Mulvey, John M.
2
Nasini, Stefano
2
Ogryczak, Włodzimierz
2
Parolya, Nestor
2
Ponomareva, K.
2
Puerto, Justo
2
Qi, Yue
2
Roman, D.
2
Salo, Ahti A.
2
Schmid, Wolfgang
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Scozzari, Andrea
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Speranza, Maria Grazia
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Večeř, Jan
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Wu, Baiyi
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Xiao, Wei-lin
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Zhang, Xi-li
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Zopounidis, Constantin
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Abessi, Masoud
1
Adcock, C. J.
1
Ahmadi-Javid, Amir
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Aktürk, M. Selim
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Andelmin, Juho
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European journal of operational research : EJOR
INFORMS journal on computing : JOC
1
Journal of banking & finance
1
Journal of the Operational Research Society : OR
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Research paper series / Swiss Finance Institute
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Swiss Finance Institute Research Paper
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ECONIS (ZBW)
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1
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:
2
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun
;
Xiong, Yan
;
Li, Duan
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
Saved in:
3
Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu
;
Gao, Jianjun
;
Li, Xun
;
Li, Duan
- In:
European journal of operational research : EJOR
234
(
2014
)
2
,
pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
Saved in:
4
New reformulations for probabilistically constrained quadratic programs
Hsia, Yong
;
Wu, Baiyi
;
Li, Duan
- In:
European journal of operational research : EJOR
233
(
2014
)
3
,
pp. 550-556
Persistent link: https://www.econbiz.de/10010228240
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