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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
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On the stability of continuous-time portfolio problems with stochastic opportunity set
Korn, Ralf; Kraft, Holger - In: Mathematical finance : an international journal of … 14 (2004) 3, pp. 403-414
Persistent link: https://www.econbiz.de/10002125556
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Optimal dynamic portfolio selection : multiperiod mean-variance formulation
Li, Duan; Ng, Wan-lung - In: Mathematical finance : an international journal of … 10 (2000) 3, pp. 387-406
Persistent link: https://www.econbiz.de/10002178964
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Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selction
Li, Duan; Sun, Xiaoling; Jun, Wang - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 83-101
Persistent link: https://www.econbiz.de/10003336788
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Optioned portfolio selection : models and analysis
Liang, Jianfeng; Zhang, Shuzhong; Li, Duan - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 569-593
Persistent link: https://www.econbiz.de/10003769015
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A dynamic programming approach to constrained portfolios
Kraft, Holger; Steffensen, Mogens - In: European journal of operational research : EJOR 229 (2013) 2, pp. 453-461
Persistent link: https://www.econbiz.de/10009757976
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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
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New reformulations for probabilistically constrained quadratic programs
Hsia, Yong; Wu, Baiyi; Li, Duan - In: European journal of operational research : EJOR 233 (2014) 3, pp. 550-556
Persistent link: https://www.econbiz.de/10010228240
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Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
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Better than dynamic mean-variance : time inconsistency and free cash flow stream
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 346-378
Persistent link: https://www.econbiz.de/10009613192