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subject:"Financial analysis"
subject:"Portfolio selection"
~person:"Li, Duan"
~person:"Wong, Hoi Ying"
~type_genre:"Aufsatz in Zeitschrift"
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Financial analysis
Portfolio selection
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63
Theory
63
Portfolio-Management
42
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16
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16
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11
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Li, Duan
Wong, Hoi Ying
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41
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29
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26
Wong, Wing Keung
25
Zagst, Rudi
21
Markowitz, Harry
20
Prigent, Jean-Luc
20
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18
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18
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17
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16
Chen, Zhiping
15
Jarrow, Robert A.
15
Li, Zhongfei
15
Liang, Zongxia
15
Lioui, Abraham
15
Platen, Eckhard
15
Siu, Tak Kuen
15
Vanduffel, Steven
15
Yao, Haixiang
15
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14
Cvitanić, Jakša
14
Rüschendorf, Ludger
14
Zhou, Guofu
14
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13
Kwon, Roy H.
13
Lo, Andrew W.
13
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13
Sass, Jörn
13
Zeng, Yan
13
Bernard, Carole
12
Dai, Min
12
Guerard, John Baynard
12
Guidolin, Massimo
12
Kim, Woo Chang
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12
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European journal of operational research : EJOR
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Insurance / Mathematics & economics
4
Journal of economic dynamics & control
3
Operations research letters
3
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2
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2
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1
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Scandinavian actuarial journal
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ECONIS (ZBW)
42
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1
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
Wang, Ling
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Scandinavian actuarial journal
2023
(
2023
)
2
,
pp. 123-152
Persistent link: https://www.econbiz.de/10014325034
Saved in:
2
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:
3
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:
4
Portfolio liquidation with delayed information
Yan, Tingjin
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Economic modelling
126
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014461590
Saved in:
5
Pairs trading under delayed cointegration
Yan, Tingjin
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1627-1648
Persistent link: https://www.econbiz.de/10013367938
Saved in:
6
Robust state-dependent mean-variance portfolio selection : a closed-loop approach
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Finance and stochastics
25
(
2021
)
3
,
pp. 529-561
Persistent link: https://www.econbiz.de/10012585986
Saved in:
7
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin
;
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 699-724
Persistent link: https://www.econbiz.de/10012321867
Saved in:
8
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:
9
Lasso-based simulation for high-dimensional multi-period portfolio optimization
Li, Zhongyu
;
Tsang, Ka Ho
;
Wong, Hoi Ying
- In:
IMA journal of management mathematics
31
(
2020
)
3
,
pp. 257-280
Persistent link: https://www.econbiz.de/10012258670
Saved in:
10
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Yan, Tingjin
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
90
(
2020
),
pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
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