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~subject:"Mathematische Optimierung"
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Mathematische Optimierung
Portfolio selection
52
Theorie
51
Theory
51
Portfolio-Management
48
Mathematical programming
21
Time consistency
11
Zeitkonsistenz
11
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5
Kapitaleinkommen
5
Risikoaversion
5
Risikomanagement
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Risk aversion
5
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5
Dynamic programming
4
Dynamische Optimierung
4
Experiment
4
Option trading
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Optionsgeschäft
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3
Conditional value-at-risk
3
Estimation theory
3
Fuzzy sets
3
Fuzzy-Set-Theorie
3
Incomplete information
3
Multi-period portfolio selection
3
Option pricing theory
3
Optionspreistheorie
3
Probabilistic constraint
3
Quadratic programming
3
Risiko
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Robust optimization
3
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21
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Li, Duan
21
Sun, Xiaoling
7
Cui, Xiangyu
5
Jiang, Rujun
4
Li, Xun
4
Cui, Xueting
3
Gao, Jianjun
3
Zheng, Xiaojin
3
Zhu, Shushang
3
Luo, Hezhi
2
Wu, Baiyi
2
Xia, Yong
2
Chen, Yuanyuan
1
Ding, Xiaodong
1
Fan, Minjie
1
Hsia, Yong
1
Jun, Wang
1
McKinnon, K. I. M.
1
Ng, Chi-kong
1
Peng, Jiming
1
Sheu, Ruey-lin
1
Shi, Yun
1
Sun, X. L.
1
Wang, J.
1
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1
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European journal of operational research : EJOR
6
INFORMS journal on computing : JOC
3
Mathematics of operations research
2
Computational optimization and applications : an international journal
1
Computers & operations research : and their applications to problems of world concern ; an international journal
1
Journal of banking & finance
1
Journal of the Operational Research Society : OR
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
21
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1
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
Saved in:
2
Convergent Lagrangian and domain cut method for nonlinear knapsack problems
Li, Duan
;
Sun, X. L.
;
Wang, J.
;
McKinnon, K. I. M.
- In:
Computational optimization and applications : an …
42
(
2009
)
1
,
pp. 67-104
Persistent link: https://www.econbiz.de/10003810118
Saved in:
3
Improved estimation of duality gap in binary quadratic programming using a weighted distance measure
Xia, Yong
;
Sheu, Ruey-lin
;
Sun, Xiaoling
;
Li, Duan
- In:
European journal of operational research : EJOR
218
(
2012
)
2
,
pp. 351-357
Persistent link: https://www.econbiz.de/10009505414
Saved in:
4
Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
Zheng, Xiaojin
;
Sun, Xiaoling
;
Li, Duan
;
Cui, Xueting
- In:
European journal of operational research : EJOR
221
(
2012
)
1
,
pp. 38-48
Persistent link: https://www.econbiz.de/10009553172
Saved in:
5
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:
6
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:
7
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:
8
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:
9
Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints : a semidefinite program approach
Zheng, Xiaojin
;
Sun, Xiaoling
;
Li, Duan
- In:
INFORMS journal on computing : JOC
26
(
2014
)
4
,
pp. 690-703
Persistent link: https://www.econbiz.de/10010477276
Saved in:
10
Test problem generator for unconstrained global optimization
Ng, Chi-kong
;
Li, Duan
- In:
Computers & operations research : and their …
51
(
2014
),
pp. 338-349
Persistent link: https://www.econbiz.de/10010408839
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