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person:"Li, Zhongfei"
~person:"Leung, Tim"
~person:"Mandler, Michael"
~subject:"Portfolio-Management"
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Portfolio-Management
Utility maximization
9
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5
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utility maximization
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Li, Zhongfei
Leung, Tim
Mandler, Michael
Escobar, Marcos
4
Zagst, Rudi
4
Yu, Xiang
3
Bayraktar, Erhan
2
Bichuch, Maxim
2
Larsen, Kasper
2
Mostovyi, Oleksii
2
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Viens, Frederi G.
2
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Yan, Raphael
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2
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Zou, Bin
2
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2
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1
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1
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1
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1
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Annals of finance
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International journal of financial engineering
2
Insurance / Mathematics & economics
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ECONIS (ZBW)
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Constrained dynamic futures portfolios with stochastic basis
Chen, Xiaodong
;
Leung, Tim
;
Zhou, Yang
- In:
Annals of finance
18
(
2022
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10013194629
Saved in:
2
Optimal trading of a basket of futures contracts
Angoshtari, Bahman
;
Leung, Tim
- In:
Annals of finance
16
(
2020
)
2
,
pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
Saved in:
3
A stochastic control approach to managed futures portfolios
Leung, Tim
;
Yan, Raphael
- In:
International journal of financial engineering
6
(
2019
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012028856
Saved in:
4
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model
Leung, Tim
;
Yan, Raphael
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011923058
Saved in:
5
Dynamic portfolio selection with mispricing and model ambiguity
Yi, Bo
;
Viens, Frederi G.
;
Law, Baron
;
Li, Zhongfei
- In:
Annals of finance
11
(
2015
)
1
,
pp. 37-75
Persistent link: https://www.econbiz.de/10011376170
Saved in:
6
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo
;
Li, Zhongfei
;
Viens, Frederi G.
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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