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type_genre:"Article in journal"
type_genre:"Kongressschrift"
~person:"Li, Duan"
~subject:"Portfolio-Management"
~subject:"Theory"
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Portfolio-Management
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34
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25
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6
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6
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Li, Duan
Beladi, Hamid
162
Pestieau, Pierre
159
Güth, Werner
155
Creedy, John
145
Phillips, Peter C. B.
142
Lai, Ching-chong
140
Thisse, Jacques-François
133
Nijkamp, Peter
130
Turnovsky, Stephen J.
125
Tirole, Jean
123
Marjit, Sugata
120
Cremer, Helmuth
119
Broll, Udo
118
Färe, Rolf
116
Long, Ngo Van
116
Mukherjee, Arijit
115
Lambertini, Luca
113
Frey, Bruno S.
112
Acemoglu, Daron
111
Laporte, Gilbert
106
Jarrow, Robert A.
105
Cheng, T. C. E.
102
Tsionas, Efthymios G.
102
Laffont, Jean-Jacques
101
Devereux, Michael B.
99
Stiglitz, Joseph E.
99
Gersbach, Hans
98
Kumbhakar, Subal
98
Miceli, Thomas J.
98
Shogren, Jason F.
97
Quiggin, John C.
96
Franses, Philip Hans
94
Lien, Da-hsiang Donald
93
Michel, Philippe
93
Sappington, David Edward Michael
93
Chao, Chi-Chur
92
Gupta, Rangan
92
Andersen, Torben M.
90
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90
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International Conference on Optimization: Techniques and Applications <5, 2001, Hongkong>
1
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European journal of operational research : EJOR
7
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5
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4
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3
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2
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2
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1
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ECONIS (ZBW)
34
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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
Exactness conditions for semidefinite programming relaxations of generalization of the extended trust region subproblem
Jiang, Rujun
;
Li, Duan
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1235-1253
Persistent link: https://www.econbiz.de/10014329218
Saved in:
3
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:
4
Complexity results and effective algorithms for worst-case linear optimization under uncertainties
Luo, Hezhi
;
Ding, Xiaodong
;
Peng, Jiming
;
Jiang, Rujun
; …
- In:
INFORMS journal on computing : JOC
33
(
2021
)
1
,
pp. 180-197
Persistent link: https://www.econbiz.de/10012496371
Saved in:
5
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:
6
Information aggregation in a financial market with general signal structure
Lou, Youcheng
;
Parsa, Sahar
;
Ray, Debraj
;
Li, Duan
; …
- In:
Journal of economic theory
183
(
2019
),
pp. 594-624
Persistent link: https://www.econbiz.de/10012131377
Saved in:
7
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:
8
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:
9
Optimal order execution using hidden orders
Chen, Yuanyuan
;
Gao, Xuefeng
;
Li, Duan
- In:
Journal of economic dynamics & control
94
(
2018
),
pp. 89-116
Persistent link: https://www.econbiz.de/10012004233
Saved in:
10
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
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