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~person:"Li, Duan"
~subject:"Portfolio selection"
~type_genre:"Arbeitspapier"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Bibliography included"
~type_genre:"CD-ROM, DVD"
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Portfolio selection
Theorie
36
Theory
36
Portfolio-Management
27
Mathematical programming
15
Mathematische Optimierung
15
Risikomaß
6
Risk measure
6
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successive convex optimization
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time consistency in efficiency
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2002-2004
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Arbeitspapier
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Li, Duan
Maurer, Raimond
47
Platen, Eckhard
46
Fabozzi, Frank J.
42
Gollier, Christian
37
Uppal, Raman
34
Korn, Ralf
30
Hens, Thorsten
27
Lucas, André
27
Schenk-Hoppé, Klaus Reiner
27
Wong, Wing Keung
27
Başak, Suleyman
26
Escobar, Marcos
26
Guidolin, Massimo
26
Van Wincoop, Eric
25
Campbell, John Y.
24
Gouriéroux, Christian
23
Post, Thierry
23
Viceira, Luis M.
22
Zagst, Rudi
22
Lo, Andrew W.
20
Markowitz, Harry
20
Prigent, Jean-Luc
20
Schmid, Wolfgang
20
Vries, Casper G. de
20
Wang, Ruodu
20
Bacchetta, Philippe
19
Cvitanić, Jakša
19
Evstigneev, Igor V.
19
He, Xue-zhong
19
Levy, Haim
19
Lioui, Abraham
19
Malamud, Semyon
19
Engle, Robert F.
18
Härdle, Wolfgang
18
Forsyth, Peter A.
17
Gomes, Francisco J.
17
Kraft, Holger
17
Ledoit, Olivier
17
Muhle-Karbe, Johannes
17
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European journal of operational research : EJOR
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Journal of economic dynamics & control
3
Beiträge aus dem Institut für Statistik und Ökonometrie der Universität Hamburg
2
Journal of the Operational Research Society : OR
2
The journal of computational finance
2
INFORMS journal on computing : JOC
1
Journal of banking & finance
1
Journal of the Operational Research Society
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Operations research
1
Operations research letters
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
27
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1
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:
2
Classical mean-variance model revisited : pseudo efficiency
Cui, Xiangyu
;
Li, Duan
;
Yan, Jia-an
- In:
Journal of the Operational Research Society : OR
66
(
2015
)
10
,
pp. 1646-1655
Persistent link: https://www.econbiz.de/10011417708
Saved in:
3
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:
4
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:
5
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
Saved in:
6
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Cui, Xiangyu
;
Li, Xun
;
Li, Duan
;
Shi, Yun
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
12
,
pp. 1647-1660
Persistent link: https://www.econbiz.de/10011816054
Saved in:
7
Portfolio optimization with nonparametric value at risk : a block coordinate descent method
Cui, Xueting
;
Sun, Xiaoling
;
Zhu, Shushang
;
Jiang, Rujun
; …
- In:
INFORMS journal on computing : JOC
30
(
2018
)
3
,
pp. 454-471
Persistent link: https://www.econbiz.de/10011948064
Saved in:
8
Dynamic trading with reference point adaptation and loss aversion
Shi, Yun
;
Cui, Xiangyu
;
Yao, Jing
;
Li, Duan
- In:
Operations research
63
(
2015
)
4
,
pp. 789-806
Persistent link: https://www.econbiz.de/10011313231
Saved in:
9
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:
10
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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