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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
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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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A portfolio selection model using fuzzy returns
Li, Duan; Stahlecker, Peter - 2011
Persistent link: https://www.econbiz.de/10008858048
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Ein Ansatz zur Portfoliotheorie mit unscharfen Parametern
Li, Duan; Stahlecker, Peter - 2010
Persistent link: https://www.econbiz.de/10008858250
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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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Portfolio selection with marginal risk control
Zhu, Shushang; Li, Duan; Sun, Xiaoling - In: The journal of computational finance 14 (2010/11) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10008736754
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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
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Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach
Zhu, Shushang; Cui, Xueting; Sun, Xiaoling; Li, Duan - In: Journal of risk 14 (2011/12) 2, pp. 51-89
Persistent link: https://www.econbiz.de/10009422361
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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
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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