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~person:"Li, Duan"
~subject:"Portfolio selection"
~subject:"Strategic management"
~type_genre:"Article in journal"
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Portfolio selection
Strategic management
Portfolio-Management
30
Theorie
26
Theory
26
Mathematical programming
9
Mathematische Optimierung
9
Risikomaß
7
Risk measure
7
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6
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portfolio selection
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Li, Duan
Fabozzi, Frank J.
77
Wong, Wing Keung
47
Henry, Craig
45
Satchell, Stephen
38
Zaremba, Adam
35
Hammoudeh, Shawkat
33
Korn, Ralf
33
Kang, Sang Hoon
32
Auer, Benjamin R.
31
Escobar, Marcos
31
Zagst, Rudi
31
Platen, Eckhard
30
Prigent, Jean-Luc
30
Guidolin, Massimo
29
Martellini, Lionel
28
Tiwari, Aviral Kumar
28
Levy, Haim
27
Mensi, Walid
27
Lo, Andrew W.
26
Zhou, Guofu
26
Maurer, Raimond
25
Young, Virginia R.
25
Forsyth, Peter A.
24
Kraft, Holger
24
Kraus, Sascha
24
Post, Thierry
24
Faff, Robert W.
23
Gallagher, David R.
23
Hens, Thorsten
23
Jarrow, Robert A.
23
Scherer, Bernd
23
Vanduffel, Steven
23
Xuan Vinh Vo
23
Clare, Andrew D.
22
Markowitz, Harry
22
McAleer, Michael
22
Parnell, John A.
22
Wong, Hoi Ying
22
Foss, Nicolai J.
21
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European journal of operational research : EJOR
6
Journal of economic dynamics & control
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Journal of the Operational Research Society : OR
2
Operations research
2
The journal of computational finance
2
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
1
INFORMS journal on computing : JOC
1
Journal of banking & finance
1
Journal of risk
1
Journal of the Operational Research Society
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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)
30
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30
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date (oldest first)
1
Portfolio
management
with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang
;
Fan, Minjie
;
Li, Duan
- In:
Journal of economic dynamics & control
48
(
2014
),
pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
Saved in:
2
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:
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
Counter-cyclical margins for option portfolios
Chen, Yuanyuan
;
Wu, Qi
;
Li, Duan
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014478163
Saved in:
5
A robust set-valued scenario approach for handling modeling risk in portfolio optimization
Zhu, Shushang
;
Jin, Xiaodong
;
Li, Duan
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 11-40
Persistent link: https://www.econbiz.de/10011480704
Saved in:
6
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:
7
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:
8
Failing to foresee the updating of the reference point leads to time-inconsistent investment
Strub, Moris S.
;
Li, Duan
- In:
Operations research
68
(
2020
)
1
,
pp. 199-213
Persistent link: https://www.econbiz.de/10012172306
Saved in:
9
Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach
Zhu, Shushang
;
Cui, Xueting
;
Sun, Xiaoling
;
Li, Duan
- In:
Journal of risk
14
(
2011/12
)
2
,
pp. 51-89
Persistent link: https://www.econbiz.de/10009422361
Saved in:
10
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:
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