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~isPartOf:"European journal of operational research : EJOR"
~person:"Blake, David"
~person:"Li, Duan"
~person:"Maurer, Raimond"
~person:"Zhou, Guofu"
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Portfolio selection
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Blake, David
Li, Duan
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Zhou, Guofu
Liesiö, Juuso
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European journal of operational research : EJOR
Discussion paper / The Pensions Institute, Cass Business School, City University
15
Working paper series / Finance and accounting / Johann Wolfgang Goethe-Universität Frankfurt, Fachbereich Wirtschaftswissenschaften
10
Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung
9
Journal of economic dynamics & control
8
NBER Working Paper
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NBER working paper series
8
Working paper / National Bureau of Economic Research, Inc.
8
Journal of financial economics
7
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Michigan Retirement Research Center Research Paper
5
The journal of portfolio management : a publication of Institutional Investor
5
Discussion paper / the Pensions Institute, Birkbeck College, University of London
4
Journal of financial and quantitative analysis : JFQA
4
UBS paper
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CFS working paper series
3
Discussion paper / LSE Financial Markets Group
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Discussion paper in financial economics : FE
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Investmentmodelle für das Asset-liability-Modelling von Versicherungsunternehmen : Abschlussbericht der Themenfeldgruppe Investmentmodelle
3
Journal of banking & finance
3
Journal of pension economics and finance
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The journal of asset management
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Working paper series / Johann Wolfgang Goethe-Universität Frankfurt, Fachbereich Wirtschaftswissenschaften
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Kredit und Kapital
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Review of finance : journal of the European Finance Association
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Rotman School of Management working paper / University of Toronto Rotman School of Management
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The journal of computational finance
2
Veröffentlichungen des Instituts für Versicherungswissenschaft der Universität Mannheim
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Wharton Pension Research Council Working Paper
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Working paper series / Finance & accounting
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ECONIS (ZBW)
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1
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:
2
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
Saved in:
3
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
Saved in:
4
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun
;
Xiong, Yan
;
Li, Duan
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
Saved in:
5
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang
;
Li, Zhongfei
;
Li, Duan
- In:
European journal of operational research : EJOR
252
(
2016
)
3
,
pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
Saved in:
6
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
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