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type:"article"
~person:"Li, Duan"
~person:"Post, Thierry"
~subject:"Risikoaversion"
~subject:"Theory"
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Search: subject_exact:"Portfolio performance"
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Risikoaversion
Theory
Portfolio selection
54
Portfolio-Management
54
Theorie
42
Mathematical programming
18
Mathematische Optimierung
18
Stochastic process
13
Stochastischer Prozess
13
Risk aversion
8
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7
Risk measure
7
Stochastic dominance
6
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Präferenztheorie
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stochastic dominance
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Capital income
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Dynamic programming
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Dynamische Optimierung
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Li, Duan
Post, Thierry
Fabozzi, Frank J.
69
Korn, Ralf
30
Escobar, Marcos
29
Markowitz, Harry
28
Wong, Wing Keung
28
Prigent, Jean-Luc
24
Satchell, Stephen
23
Zagst, Rudi
23
Račev, Svetlozar T.
22
Gollier, Christian
21
Forsyth, Peter A.
18
Maurer, Raimond
18
Wang, Ruodu
18
Levy, Haim
17
Liang, Zongxia
17
Wong, Hoi Ying
17
Chen, Zhiping
16
Lee, Cheng F.
16
Li, Zhongfei
16
Sass, Jörn
16
Vanduffel, Steven
16
Cvitanić, Jakša
15
Jarrow, Robert A.
15
Kim, Woo Chang
15
Lioui, Abraham
15
Platen, Eckhard
15
Rüschendorf, Ludger
15
Yao, Haixiang
15
Zariphopoulou-Souganidis, Thaleia
15
Cui, Xiangyu
14
Koo, Hyeng-keun
14
Kraft, Holger
14
Schenk-Hoppé, Klaus Reiner
14
Siu, Tak Kuen
14
Zeng, Yan
14
Zhou, Xun Yu
14
Bernard, Carole
13
Bertrand, Philippe
13
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European journal of operational research : EJOR
7
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Journal of banking & finance
4
Journal of economic dynamics & control
3
Journal of empirical finance
2
Journal of the Operational Research Society : OR
2
The journal of computational finance
2
INFORMS journal on computing : JOC
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of financial and quantitative analysis : JFQA
1
Journal of the Operational Research Society
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
OR spectrum : quantitative approaches in management
1
Operations research
1
Operations research letters
1
The econometrics journal
1
The journal of finance : the journal of the American Finance Association
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
The review of economics and statistics
1
The review of financial studies
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ECONIS (ZBW)
44
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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
Generalized stochastic arbitrage opportunities
Arvanitis, Stelios
;
Post, Thierry
- In:
Management science : journal of the Institute for …
70
(
2024
)
7
,
pp. 4629-4648
Persistent link: https://www.econbiz.de/10015046365
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
A financial modeling approach to industry exchange-traded funds selection
Conlon, Thomas
;
Cotter, John
;
Kovalenko, Illia
;
Post, …
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014477136
Saved in:
5
Optimal portfolio choice for higher-order risk averters
Fang, Yi
;
Post, Thierry
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013460225
Saved in:
6
Stochastic bounds for reference sets in portfolio analysis
Arvanitis, Stelios
;
Post, Thierry
;
Topaloglou, Nikolas
- In:
Management science : journal of the Institute for …
67
(
2021
)
12
,
pp. 7737-7754
Persistent link: https://www.econbiz.de/10012815733
Saved in:
7
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:
8
A concave security market line
De Giorgi, Enrico
;
Post, Thierry
;
Yalçın, Atakan
- In:
Journal of banking & finance
106
(
2019
),
pp. 65-81
Persistent link: https://www.econbiz.de/10012223950
Saved in:
9
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:
10
Stochastic spanning
Arvanitis, Stelios
;
Hallam, Mark
;
Post, Thierry
; …
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 573-585
Persistent link: https://www.econbiz.de/10012178998
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