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~accessRights:"restricted"
~person:"Kim, Jang Ho"
~person:"Li, Danping"
~subject:"Portfolio selection"
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Portfolio selection
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19
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17
Robust statistics
7
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7
Mathematical programming
5
Mathematische Optimierung
5
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Mean-variance criterion
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constant elasticity of variance (CEV) model
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Kim, Jang Ho
Li, Danping
Escobar, Marcos
22
Fabozzi, Frank J.
22
Wang, Ruodu
16
Forsyth, Peter A.
14
Wong, Wing Keung
14
Kwon, Roy H.
13
Prigent, Jean-Luc
13
Uppal, Raman
13
Yao, Haixiang
13
Lee, Cheng F.
12
Liang, Zongxia
12
Vanduffel, Steven
12
Zagst, Rudi
12
Bernard, Carole
11
Chen, Zhiping
11
Cui, Xiangyu
11
Kim, Woo Chang
11
Ledoit, Olivier
11
Li, Duan
11
Righi, Marcelo Brutti
11
Soner, Halil Mete
11
Tan, Ken Seng
11
Wolf, Michael
11
Wong, Hoi Ying
11
Auer, Benjamin R.
10
Capponi, Agostino
10
Chen, An
10
Dai, Min
10
Muhle-Karbe, Johannes
10
Dai, Zhifeng
9
Guan, Guohui
9
Jang, Bong-Gyu
9
Li, Zhongfei
9
Platanakis, Emmanouil
9
Post, Thierry
9
De Nard, Gianluca
8
Lee, Yongjae
8
Li, Bin
8
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Insurance / Mathematics & economics
4
Finance research letters
2
Journal of the Operational Research Society
2
Quantitative finance
2
Analytical models for financial modeling and risk management
1
IMA journal of management mathematics
1
International review of financial analysis
1
Journal of economic dynamics & control
1
Operations research letters
1
Risk management decisions and value under uncertainty
1
The journal of portfolio management : JPM
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ECONIS (ZBW)
17
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1
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
2
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Zeng, Yan
;
Li, Danping
;
Gu, Ailing
- In:
Insurance / Mathematics & economics
66
(
2016
),
pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
Saved in:
3
Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
- In:
Operations research letters
44
(
2016
)
4
,
pp. 540-543
Persistent link: https://www.econbiz.de/10011535445
Saved in:
4
Mean-variance optimization for asset allocation
Kim, Jang Ho
;
Lee, Yongjae
;
Kim, Woo Chang
;
Fabozzi, …
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 24-40
Persistent link: https://www.econbiz.de/10012503361
Saved in:
5
The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
Li, Danping
;
Rong, Ximin
;
Zhao, Hui
- In:
IMA journal of management mathematics
27
(
2016
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10011567155
Saved in:
6
Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
Li, Danping
;
Rong, Ximin
;
Zhao, Hui
;
Yi, Bo
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 6-20
Persistent link: https://www.econbiz.de/10011691490
Saved in:
7
Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
Li, Danping
;
Young, Virginia R.
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 143-152
Persistent link: https://www.econbiz.de/10012058937
Saved in:
8
Sparse and robust portfolio selection via semi-definite relaxation
Lee, Yongjae
;
Kim, Min Jeong
;
Kim, Jang Ho
;
Jang, Ju Ri
; …
- In:
Journal of the Operational Research Society
71
(
2020
)
5
,
pp. 687-699
Persistent link: https://www.econbiz.de/10012216744
Saved in:
9
Optimality of excess-loss reinsurance under a mean-variance criterion
Li, Danping
;
Li, Dongchen
;
Young, Virginia R.
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 82-89
Persistent link: https://www.econbiz.de/10011740728
Saved in:
10
Alpha-robust mean-variance reinsurance-investment strategy
Li, Bin
;
Li, Danping
;
Xiong, Dewen
- In:
Journal of economic dynamics & control
70
(
2016
),
pp. 101-123
Persistent link: https://www.econbiz.de/10011708658
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