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subject:"Portfolio selection"
~accessRights:"restricted"
~language:"eng"
~person:"Li, Duan"
~person:"Wong, Hoi Ying"
~subject:"EU countries"
~subject:"Economic theory"
~subject:"Monetary policy"
~type:"article"
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Portfolio selection
EU countries
Economic theory
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Theorie
32
Theory
32
Portfolio-Management
21
Mathematical programming
8
Mathematische Optimierung
8
Stochastic process
8
Stochastischer Prozess
8
Time consistency
7
Zeitkonsistenz
7
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Cointegration
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Dynamische Optimierung
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Li, Duan
Wong, Hoi Ying
Escobar, Marcos
22
Fabozzi, Frank J.
19
Wang, Ruodu
16
Serletis, Apostolos
14
Wong, Wing Keung
14
Forsyth, Peter A.
13
Prigent, Jean-Luc
12
Vanduffel, Steven
12
Zagst, Rudi
12
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11
Kwon, Roy H.
11
Tan, Ken Seng
11
Bernard, Carole
10
Capponi, Agostino
10
Chen, An
10
Di Bartolomeo, Giovanni
10
Gupta, Rangan
10
Ida, Daisuke
10
Liang, Zongxia
10
Nakata, Taisuke
10
Righi, Marcelo Brutti
10
Belke, Ansgar
9
Chen, Zhiping
9
Dai, Min
9
Jang, Bong-Gyu
9
Kim, Woo Chang
9
Li, Zhongfei
9
Minford, Patrick
9
Schmidt, Sebastian
9
Yao, Haixiang
9
Dai, Zhifeng
8
Jarrow, Robert A.
8
Li, Bin
8
Li, Danping
8
Li, Xun
8
Piergallini, Alessandro
8
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European journal of operational research : EJOR
4
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2
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2
Operations research letters
2
Economic modelling
1
Finance and stochastics
1
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INFORMS journal on computing : JOC
1
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ECONIS (ZBW)
21
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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
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:
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
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:
5
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:
6
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
Saved in:
7
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:
8
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:
9
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:
10
A linear programming model for selection of sparse high-dimensional multiperiod portfolios
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 754-771
Persistent link: https://www.econbiz.de/10011987586
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