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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

Optimal Dynamic Portfolio Selection : Multiperiod Mean-Variance Formulation

Li, Duan - 2001

The mean-variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal...

Persistent link: https://www.econbiz.de/10012788022

ARTICLES - 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

Persistent link: https://www.econbiz.de/10008217778

A stochastic programming model for production planning of perishable products with postponement

Leung, Stephen; Ng, Wan-Lung - In: Production planning & control : PPC 18 (2007) 3, pp. 190-202

Persistent link: https://www.econbiz.de/10007613137

A goal programming model for production planning of perishable products with postponement

Leung, Stephen C.H.; Ng, Wan-lung - In: Computers & industrial engineering : CAIE ; an … 53 (2007) 3, pp. 531-541

Persistent link: https://www.econbiz.de/10007799675

Mean-variance analysis of a single supplier and retailer supply chain under a returns policy

Choi, Tsan-Ming; Li, Duan; Yan, Houmin - In: European journal of operational research : EJOR 184 (2008) 1, pp. 356-376

Persistent link: https://www.econbiz.de/10003768218

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

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

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

Behavior patterns of investment strategies under Roy’s safety-first principle

Li, Zhongfei; Yao, Jing; Li, Duan - In: The quarterly review of economics and finance : journal … 50 (2010) 2, pp. 167-179

Persistent link: https://www.econbiz.de/10008688969

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