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subject:"Portfolio-Management"
subject:"Stochastischer Prozess"
~person:"Li, Duan"
~subject:"Monetary policy"
~type:"article"
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Portfolio-Management
Stochastischer Prozess
Monetary policy
Theorie
33
Theory
33
Portfolio selection
25
Mathematical programming
15
Mathematische Optimierung
15
Risikomaß
6
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6
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5
Zeitkonsistenz
5
Risikomanagement
4
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3
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successive convex optimization
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time consistency in efficiency
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2002-2004
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Aktienindex
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Li, Duan
Fabozzi, Frank J.
75
Woodford, Michael
50
Escudero, Laureano F.
35
Svensson, Lars E. O.
35
McCallum, Bennett T.
33
Korn, Ralf
31
Wong, Wing Keung
31
Escobar, Marcos
30
Goodhart, Charles A. E.
30
Devereux, Michael B.
29
Di Bartolomeo, Giovanni
28
Hughes Hallett, Andrew
28
Račev, Svetlozar T.
28
Markowitz, Harry
27
Satchell, Stephen
26
Walsh, Carl E.
25
Jarrow, Robert A.
24
Prigent, Jean-Luc
24
Taylor, John B.
24
Zagst, Rudi
24
Evans, George W.
23
Waller, Christopher
23
Christiano, Lawrence J.
22
Gollier, Christian
22
Siu, Tak Kuen
22
Belke, Ansgar
21
Gendreau, Michel
21
Hefeker, Carsten
21
Phillips, Peter C. B.
21
Tirelli, Patrizio
21
Fuerst, Timothy S.
20
Leeper, Eric M.
20
Levine, Paul
20
Platen, Eckhard
20
Uribe, Martín
20
Wong, Hoi Ying
20
Bullard, James Brian
19
Chen, Zhiping
19
Chiarella, Carl
19
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European journal of operational research : EJOR
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Journal of economic dynamics & control
3
Journal of the Operational Research Society : OR
2
The journal of computational finance
2
INFORMS journal on computing : JOC
1
Journal of banking & finance
1
Journal of the Operational Research Society
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Operations research
1
Operations research letters
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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ECONIS (ZBW)
25
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1
Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, Hezhi
;
Chen, Yuanyuan
;
Zhang, Xianye
;
Li, Duan
; …
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 36-89
Persistent link: https://www.econbiz.de/10014471144
Saved in:
2
Time consistent in efficiency dynamic mean-variance policy
Shi, Yun
;
Li, Duan
;
Cui, Xiangyu
- In:
Journal of the Operational Research Society
74
(
2023
)
1
,
pp. 195-208
Persistent link: https://www.econbiz.de/10014231704
Saved in:
3
A note on monotone mean-variance preferences for continuous processes
Strub, Moris S.
;
Li, Duan
- In:
Operations research letters
48
(
2020
)
4
,
pp. 397-400
Persistent link: https://www.econbiz.de/10012294747
Saved in:
4
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
Saved in:
5
Quadratic convex reformulation for quadratic programming with linear on-off constraints
Wu, Baiyi
;
Li, Duan
;
Jiang, Rujun
- In:
European journal of operational research : EJOR
274
(
2019
)
3
,
pp. 824-836
Persistent link: https://www.econbiz.de/10011990236
Saved in:
6
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
Saved in:
7
Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure
Cui, Xiangyu
;
Li, Duan
;
Li, Xun
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 471-504
Persistent link: https://www.econbiz.de/10011752513
Saved in:
8
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Cui, Xiangyu
;
Li, Xun
;
Li, Duan
;
Shi, Yun
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
12
,
pp. 1647-1660
Persistent link: https://www.econbiz.de/10011816054
Saved in:
9
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:
10
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
Saved in:
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