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subject:"Portfolio-Management"
subject:"United States"
~person:"Li, Duan"
~subject:"Estimation theory"
~subject:"Portfolio selection"
~subject:"Prognoseverfahren"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Glossary included"
~type_genre:"Sammelwerk"
~type_genre:"Thesis"
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Portfolio-Management
United States
Estimation theory
Portfolio selection
Prognoseverfahren
Theorie
34
Theory
34
Mathematical programming
15
Mathematische Optimierung
15
Risikomaß
6
Risk measure
6
Time consistency
5
Zeitkonsistenz
5
Dynamic programming
4
Dynamische Optimierung
4
Risikomanagement
4
Risk management
4
Anlageverhalten
3
Behavioural finance
3
Risiko
3
Risikoaversion
3
Risk
3
Risk aversion
3
Stochastic process
3
Stochastischer Prozess
3
Conditional value-at-risk
2
Experiment
2
Nichtlineare Optimierung
2
Nonlinear programming
2
Yield curve
2
Zinsstruktur
2
branch-and-bound
2
convex relaxation
2
successive convex optimization
2
time consistency in efficiency
2
2002-2004
1
Aktienindex
1
Aktienmarkt
1
Algorithm
1
Algorithmus
1
Analysis of variance
1
Asymmetric information
1
Asymmetrische Information
1
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Article
25
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Aufsatz in Zeitschrift
Glossary included
Sammelwerk
Thesis
Article in journal
25
Arbeitspapier
2
Graue Literatur
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Non-commercial literature
2
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2
Conference paper
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English
25
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Li, Duan
Fabozzi, Frank J.
74
Franses, Philip Hans
53
Clements, Michael P.
42
Diebold, Francis X.
42
Timmermann, Allan
42
Gupta, Rangan
41
Hendry, David F.
38
Phillips, Peter C. B.
38
Pesaran, M. Hashem
36
Satchell, Stephen
35
Heckman, James J.
34
Andrews, Donald W. K.
32
Baltagi, Badi H.
32
Granger, C. W. J.
32
Korn, Ralf
32
Mankiw, Nicholas Gregory
31
McAleer, Michael
31
Newey, Whitney K.
31
Swanson, Norman R.
30
Marcellino, Massimiliano
29
Engle, Robert F.
28
Gouriéroux, Christian
28
Koop, Gary
28
Li, Qi
28
Petropoulos, Fotios
28
Wong, Wing Keung
28
Bollerslev, Tim
27
Escobar, Marcos
27
Hall, Robert Ernest
27
Moosa, Imad A.
27
Jarrow, Robert A.
26
Ullah, Aman
26
Chavas, Jean-Paul
25
Lien, Da-hsiang Donald
25
Pierdzioch, Christian
25
Ghysels, Eric
24
Hyndman, Rob J.
24
Krämer, Walter
24
Lo, Andrew W.
24
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European journal of operational research : EJOR
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Journal of economic dynamics & control
3
Journal of the Operational Research Society : OR
2
The journal of computational finance
2
INFORMS journal on computing : JOC
1
Journal of banking & finance
1
Journal of the Operational Research Society
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Operations research
1
Operations research letters
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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ECONIS (ZBW)
25
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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
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:
4
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:
5
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:
6
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
Saved in:
7
Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure
Cui, Xiangyu
;
Li, Duan
;
Li, Xun
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 471-504
Persistent link: https://www.econbiz.de/10011752513
Saved in:
8
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Cui, Xiangyu
;
Li, Xun
;
Li, Duan
;
Shi, Yun
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
12
,
pp. 1647-1660
Persistent link: https://www.econbiz.de/10011816054
Saved in:
9
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:
10
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:
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