Narrow search
Showing 1 - 10 of 54
Cover Image
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
Cover Image
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
Cover Image
Optimal order execution using hidden orders
Chen, Yuanyuan; Gao, Xuefeng; Li, Duan - In: Journal of economic dynamics & control 94 (2018), pp. 89-116
Persistent link: https://www.econbiz.de/10012004233
Cover Image
Special issue International Conference on Optimization: Techniques and Applications (ICOTA), December 15 - 17, 2001, Hong Kong
Li, Duan (contributor); Qi, Liqun (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002900547
Cover Image
Failing to foresee the updating of the reference point leads to time-inconsistent investment
Strub, Moris S.; Li, Duan - In: Operations research 68 (2020) 1, pp. 199-213
Persistent link: https://www.econbiz.de/10012172306
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Discrete-time behavioral portfolio selection under cumulative prospect theory
Shi, Yun; Cui, Xiangyu; Li, Duan - In: Journal of economic dynamics & control 61 (2015), pp. 283-302
Persistent link: https://www.econbiz.de/10011589538