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~accessRights:"restricted"
~person:"Li, Duan"
~person:"Vanduffel, Steven"
~subject:"Theorie"
~subject:"World"
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Search: subject:"Portfolio-Management"
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Portfolio selection
32
Portfolio-Management
32
Theory
23
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11
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11
Mathematical programming
8
Mathematische Optimierung
8
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7
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5
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Li, Duan
Vanduffel, Steven
Fabozzi, Frank J.
25
Escobar, Marcos
22
Zaremba, Adam
17
Wang, Ruodu
16
Forsyth, Peter A.
14
Uppal, Raman
14
Wong, Wing Keung
14
Prigent, Jean-Luc
13
Liang, Zongxia
12
Zagst, Rudi
12
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11
Cui, Xiangyu
11
Kwon, Roy H.
11
Lee, Cheng F.
11
Soner, Halil Mete
11
Tan, Ken Seng
11
Capponi, Agostino
10
Chen, An
10
Chen, Zhiping
10
Kim, Woo Chang
10
Muhle-Karbe, Johannes
10
Righi, Marcelo Brutti
10
Tiwari, Aviral Kumar
10
Wong, Hoi Ying
10
Bouri, Elie
9
Dai, Min
9
Dai, Zhifeng
9
Guan, Guohui
9
Guerard, John Baynard
9
Jang, Bong-Gyu
9
Kang, Sang Hoon
9
Ledoit, Olivier
9
Li, Zhongfei
9
Post, Thierry
9
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9
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9
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9
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8
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European journal of operational research : EJOR
4
Insurance / Mathematics & economics
2
Journal of the Operational Research Society
2
Journal of the Operational Research Society : OR
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Economics letters
1
Finance and stochastics
1
INFORMS journal on computing : JOC
1
Journal of banking & finance
1
Journal of economic dynamics & control
1
Journal of mathematical economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Operations research letters
1
Scandinavian actuarial journal
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The European journal of finance
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ECONIS (ZBW)
23
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1
Robust distortion risk measures
Bernard, Carole
;
Pesenti, Silvana M.
;
Vanduffel, Steven
- In:
Mathematical finance : an international journal of …
34
(
2024
)
3
,
pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
Saved in:
2
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:
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
Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
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
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:
7
A new efficiency test for ranking investments : application to hedge fund performance
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
Economics letters
181
(
2019
),
pp. 203-207
Persistent link: https://www.econbiz.de/10012121794
Saved in:
8
Optimal portfolio choice with benchmarks
Bernard, Carole
;
De Staelen, Rob H.
;
Vanduffel, Steven
- In:
Journal of the Operational Research Society
70
(
2019
)
10
,
pp. 1600-1621
Persistent link: https://www.econbiz.de/10012214351
Saved in:
9
Optimal strategies under Omega ratio
Bernard, Carole
;
Vanduffel, Steven
;
Ye, Jiang
- In:
European journal of operational research : EJOR
275
(
2019
)
2
,
pp. 755-767
Persistent link: https://www.econbiz.de/10011993573
Saved in:
10
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
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