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type_genre:"Biographie"
type_genre:"Sammelwerk"
~person:"Cui, Xiangyu"
~person:"Wong, Hoi Ying"
~source:"econis"
~subject:"Portfolio selection"
~type_genre:"Aufsatz in Zeitschrift"
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Portfolio selection
Theorie
43
Theory
43
Portfolio-Management
31
Time consistency
10
Zeitkonsistenz
10
Stochastic process
9
Stochastischer Prozess
9
Cointegration
7
Kointegration
7
Mortality
6
Sterblichkeit
6
CAPM
5
Hedging
5
Risiko
5
Risikoaversion
5
Risk
5
Risk aversion
5
Time-inconsistency
5
Erwartungsnutzen
4
Expected utility
4
Mathematical programming
4
Mathematische Optimierung
4
Option pricing theory
4
Optionspreistheorie
4
Anlageverhalten
3
Behavioural finance
3
Mean-variance
3
Risikomaß
3
Risk measure
3
Robust statistics
3
Robustes Verfahren
3
Yield curve
3
Zinsstruktur
3
Analysis
2
Analysis of variance
2
Asset-liability management
2
Beta risk
2
Betafaktor
2
Cash Flow
2
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21
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1
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Article
31
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Biographie
Sammelwerk
Aufsatz in Zeitschrift
Article in journal
31
Language
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English
31
Author
All
Cui, Xiangyu
Wong, Hoi Ying
Fabozzi, Frank J.
58
Korn, Ralf
29
Escobar, Marcos
26
Li, Duan
25
Wong, Wing Keung
25
Markowitz, Harry
21
Zagst, Rudi
21
Prigent, Jean-Luc
20
Forsyth, Peter A.
17
Wang, Ruodu
17
Gollier, Christian
16
Post, Thierry
16
Jarrow, Robert A.
15
Levy, Haim
15
Li, Zhongfei
15
Lioui, Abraham
15
Platen, Eckhard
15
Satchell, Stephen
15
Yao, Haixiang
15
Chen, Zhiping
14
Cvitanić, Jakša
14
Guerard, John Baynard
14
Rüschendorf, Ludger
14
Vanduffel, Steven
14
Kwon, Roy H.
13
Liang, Zongxia
13
Račev, Svetlozar T.
13
Sass, Jörn
13
Schenk-Hoppé, Klaus Reiner
13
Siu, Tak Kuen
13
Zeng, Yan
13
Zhou, Guofu
13
Dai, Min
12
Hens, Thorsten
12
Kraft, Holger
12
Li, Xun
12
Lo, Andrew W.
12
Maurer, Raimond
12
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European journal of operational research : EJOR
4
Insurance / Mathematics & economics
4
Operations research letters
3
IMA journal of management mathematics
2
Journal of the Operational Research Society
2
Journal of the Operational Research Society : OR
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Operations research
2
Economic modelling
1
Finance and stochastics
1
Finance research letters
1
Journal of economic dynamics & control
1
Mathematical methods of operations research
1
Mathematics and financial economics
1
Operational research : an international journal
1
Quantitative finance
1
Scandinavian actuarial journal
1
The journal of futures markets
1
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ECONIS (ZBW)
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31
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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
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
Beta and coskewness pricing : perspective from probability weighting
Shi, Yun
;
Cui, Xiangyu
;
Zhou, Xun Yu
- In:
Operations research
71
(
2023
)
2
,
pp. 776-790
Persistent link: https://www.econbiz.de/10014308639
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
Multi-period mean-variance portfolio optimization with management fees
Cui, Xiangyu
;
Gao, Jianjun
;
Shi, Yun
- In:
Operational research : an international journal
21
(
2021
)
2
,
pp. 1333-1354
Persistent link: https://www.econbiz.de/10012584207
Saved in:
7
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:
8
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:
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
Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
Cui, Xiangyu
;
Li, Xun
;
Yang, Lanzhi
- In:
Operations research letters
48
(
2020
)
6
,
pp. 693-696
Persistent link: https://www.econbiz.de/10012430065
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