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~subject:"Portfolio selection"
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Portfolio selection
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Li, Youwei
8
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8
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4
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3
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3
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3
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2
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2
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2
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2
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European journal of operational research : EJOR
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Insurance / Mathematics & economics
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ECONIS (ZBW)
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Time-consistent investment strategy under partial information
Li, Yongwu
;
Qiao, Han
;
Wang, Shouyang
;
Zhang, Ling
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 187-197
Persistent link: https://www.econbiz.de/10011428653
Saved in:
2
Optimal time series momentum
He, Xue-zhong
;
Li, Kai
;
Li, Youwei
-
2015
Persistent link: https://www.econbiz.de/10011344325
Saved in:
3
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:
4
Non-linear equity portfolio variance reduction under a mean-variance framework : a delta-gamma approach
Jewell, Sean W.
;
Li, Yang
;
Pirvu, Traian A.
- In:
Operations research letters
41
(
2013
)
6
,
pp. 694-700
Persistent link: https://www.econbiz.de/10010236034
Saved in:
5
Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
Li, Yongwu
;
Li, Zhongfei
- In:
Insurance / Mathematics & economics
53
(
2013
)
1
,
pp. 86-97
Persistent link: https://www.econbiz.de/10009785417
Saved in:
6
Min-max robust and CVaR robust mean-variance portfolios
Zhu, Lei
;
Coleman, Thomas F.
;
Li, Yuying
- In:
Journal of risk
11
(
2008/09
)
3
,
pp. 55-85
Persistent link: https://www.econbiz.de/10003844349
Saved in:
7
Derivative portfolio hedging based on CVaR
Alexander, Siddharth
;
Coleman, Thomas F.
;
Li, Yuying
- In:
Risk measures for the 21st century
,
(pp. 339-363)
.
2004
Persistent link: https://www.econbiz.de/10002081633
Saved in:
8
Minimizing CVaR and VaR for a portfolio of derivatives
Alexander, S.
;
Coleman, T. F.
;
Li, Yuying
- In:
Journal of banking & finance
30
(
2006
)
2
,
pp. 583-605
Persistent link: https://www.econbiz.de/10003291325
Saved in:
9
Characterizations of optimal portfolios by univariate and multivariate risk aversion
Li, Yuming
- In:
Management science : journal of the Institute for …
35
(
1989
)
3
,
pp. 259-269
Persistent link: https://www.econbiz.de/10001063801
Saved in:
10
Anomalies and the expected market return
Xi, Dong
;
Li, Yan
;
Rapach, David E.
;
Zhou, Guofu
- In:
The journal of finance : the journal of the American …
77
(
2022
)
1
,
pp. 639-681
Persistent link: https://www.econbiz.de/10012796524
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