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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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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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Performance maximization of actively managed funds
Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - In: Journal of financial economics 101 (2011) 3, pp. 574-595
Persistent link: https://www.econbiz.de/10009247600
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Relaxed utility maximization in complete markets
Biagini, Sara; Guasoni, Paolo - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 703-722
Persistent link: https://www.econbiz.de/10009311613
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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
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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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The incentives of hedge fund fees and high-water marks
Guasoni, Paolo; Obłoj, Jan - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 269-295
Persistent link: https://www.econbiz.de/10011577142
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Long horizons, high risk aversion, and endogenous spreads
Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753
Persistent link: https://www.econbiz.de/10011350524
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Dynamic trading volume
Guasoni, Paolo; Weber, Marko - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 313-349
Persistent link: https://www.econbiz.de/10011752488
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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