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~accessRights:"restricted"
~person:"Bernard, Carole"
~person:"Cui, Xiangyu"
~subject:"Optimal portfolio choice"
~subject:"Theorie"
~subject:"Time consistency"
~subject:"World"
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Optimal portfolio choice
Theorie
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World
Portfolio selection
27
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21
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7
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7
Mathematical programming
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Bernard, Carole
Cui, Xiangyu
Fabozzi, Frank J.
25
Escobar, Marcos
22
Zaremba, Adam
16
Forsyth, Peter A.
15
Wang, Ruodu
15
Uppal, Raman
14
Wong, Wing Keung
14
Prigent, Jean-Luc
13
Li, Duan
12
Vanduffel, Steven
12
Zagst, Rudi
12
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11
Soner, Halil Mete
11
Tan, Ken Seng
11
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10
Muhle-Karbe, Johannes
10
Righi, Marcelo Brutti
10
Tiwari, Aviral Kumar
10
Wong, Hoi Ying
10
Chen, An
9
Chen, Zhiping
9
Dai, Min
9
Guerard, John Baynard
9
Ledoit, Olivier
9
Li, Zhongfei
9
Liang, Zongxia
9
Wolf, Michael
9
Yao, Haixiang
9
Dai, Zhifeng
8
Engle, Robert F.
8
Hammoudeh, Shawkat
8
Jang, Bong-Gyu
8
Kang, Sang Hoon
8
Kim, Woo Chang
8
Li, Bin
8
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8
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8
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Journal of the Operational Research Society
3
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2
Journal of the Operational Research Society : OR
2
Asia-Pacific journal of risk and insurance : APJRI
1
Economics letters
1
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1
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1
International journal of theoretical and applied finance
1
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1
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ECONIS (ZBW)
22
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1
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:
2
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:
3
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:
4
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
Saved in:
5
Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
Saved in:
6
Optimal strategies under Omega ratio
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
European journal of operational research : EJOR
275
(
2019
)
2
,
pp. 755-767
Persistent link: https://www.econbiz.de/10011993573
Saved in:
7
Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu
;
Gao, Jianjun
;
Shi, Yun
;
Zhu, Shushang
- In:
European journal of operational research : EJOR
276
(
2019
)
2
,
pp. 781-789
Persistent link: https://www.econbiz.de/10012003667
Saved in:
8
A new efficiency test for ranking investments : application to hedge fund performance
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
Economics letters
181
(
2019
),
pp. 203-207
Persistent link: https://www.econbiz.de/10012121794
Saved in:
9
Optimal portfolio choice with benchmarks
Bernard, Carole
;
De Staelen, Rob H.
;
Vanduffel, Steven
- In:
Journal of the Operational Research Society
70
(
2019
)
10
,
pp. 1600-1621
Persistent link: https://www.econbiz.de/10012214351
Saved in:
10
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
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