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subject:"Portfolio-Management"
subject:"United States"
~isPartOf:"European journal of operational research : EJOR"
~person:"Li, Duan"
~person:"Rustem, Berç"
~subject:"Dynamic mean-risk portfolio selection"
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Portfolio-Management
United States
Dynamic mean-risk portfolio selection
Theorie
13
Theory
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9
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7
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7
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Li, Duan
Rustem, Berç
Liesiö, Juuso
10
Salo, Ahti A.
7
Steuer, Ralph E.
5
Grechuk, Bogdan
4
Laporte, Gilbert
4
Lioui, Abraham
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Puerto, Justo
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3
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3
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2
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2
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European journal of operational research : EJOR
Journal of economic dynamics & control
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
The journal of computational finance
4
Beiträge aus dem Institut für Statistik und Ökonometrie der Universität Hamburg
2
Journal of the Operational Research Society : OR
2
Computational methods in financial engineering : essays in honour of Manfred Gilli
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INFORMS journal on computing : JOC
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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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
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang
;
Li, Zhongfei
;
Li, Duan
- In:
European journal of operational research : EJOR
252
(
2016
)
3
,
pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
Saved in:
4
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:
5
Robust portfolio optimization with copulas
Kakouris, Iakovos
;
Rustem, Berç
- In:
European journal of operational research : EJOR
235
(
2014
)
1
,
pp. 28-37
Persistent link: https://www.econbiz.de/10010361414
Saved in:
6
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
Saved in:
7
Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
Li, Yingjie
;
Zhu, Shushang
;
Li, Donghui
;
Li, Duan
- In:
European journal of operational research : EJOR
228
(
2013
)
3
,
pp. 556-570
Persistent link: https://www.econbiz.de/10009758081
Saved in:
8
International portfolio management with affine policies
Fonseca, Raquel J.
;
Rustem, Berç
- In:
European journal of operational research : EJOR
223
(
2012
)
1
,
pp. 177-187
Persistent link: https://www.econbiz.de/10009613971
Saved in:
9
Robust portfolio optimization with derivative insurance guarantees
Zymler, Steve
;
Rustem, Berç
;
Kuhn, Daniel
- In:
European journal of operational research : EJOR
210
(
2011
)
2
,
pp. 410-424
Persistent link: https://www.econbiz.de/10008841180
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