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type_genre:"Article in journal"
~person:"Chen, Jingnan"
~person:"Lee, Yongjae"
~subject:"Mathematische Optimierung"
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Mathematische Optimierung
Portfolio selection
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Portfolio-Management
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Chen, Jingnan
Lee, Yongjae
Li, Duan
9
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9
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8
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8
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8
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European journal of operational research : EJOR
2
Quantitative finance
2
Finance research letters
1
Journal of the Operational Research Society
1
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1
Operations research letters
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1
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Lee, Jinkyu
;
Kwon, Do-Gyun
;
Lee, Yongjae
;
Kim, Jang Ho
; …
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1341-1360
Persistent link: https://www.econbiz.de/10014339931
Saved in:
2
Optimal portfolio deleveraging under market impact and margin restrictions
Edirisinghe, Chanaka
;
Jeong, Jaehwan
;
Chen, Jingnan
- In:
European journal of operational research : EJOR
294
(
2021
)
2
,
pp. 746-759
Persistent link: https://www.econbiz.de/10012595904
Saved in:
3
Sparse and robust portfolio selection via semi-definite relaxation
Lee, Yongjae
;
Kim, Min Jeong
;
Kim, Jang Ho
;
Jang, Ju Ri
; …
- In:
Journal of the Operational Research Society
71
(
2020
)
5
,
pp. 687-699
Persistent link: https://www.econbiz.de/10012216744
Saved in:
4
Optimal liquidation of financial derivatives
Chen, Jingnan
- In:
Finance research letters
34
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012436500
Saved in:
5
Personalized goal-based investing via multi-stage stochastic goal programming
Kim, Woo Chang
;
Kwon, Do-Gyun
;
Lee, Yongjae
;
Kim, Jang Ho
; …
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 515-526
Persistent link: https://www.econbiz.de/10012194905
Saved in:
6
Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
- In:
Operations research letters
44
(
2016
)
4
,
pp. 540-543
Persistent link: https://www.econbiz.de/10011535445
Saved in:
7
Optimal deleveraging with nonlinear temporary price impact
Chen, Jingnan
;
Feng, Liming
;
Peng, Jiming
- In:
European journal of operational research : EJOR
244
(
2015
)
1
,
pp. 240-247
Persistent link: https://www.econbiz.de/10010531946
Saved in:
8
Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact
Chen, Jingnan
;
Feng, Liming
;
Peng, Jiming
;
Ye, Yinyu
- In:
Operations research
62
(
2014
)
1
,
pp. 195-206
Persistent link: https://www.econbiz.de/10010338535
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