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~isPartOf:"INFORMS journal on computing : JOC"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Research paper series / Swiss Finance Institute"
~person:"Li, Duan"
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Search: subject_exact:"Modern portfolio theory"
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Portfolio selection
6
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6
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Theory
6
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2
Mathematische Optimierung
2
Time consistency
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Li, Duan
Hens, Thorsten
17
Muhle-Karbe, Johannes
15
Evstigneev, Igor V.
14
Jondeau, Eric
14
Malamud, Semyon
14
Filipović, Damir
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Schenk-Hoppé, Klaus Reiner
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Soner, Halil Mete
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Sornette, Didier
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Mele, Antonio
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Platen, Eckhard
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Van Wincoop, Eric
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Zhou, Xun Yu
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Farkas, Walter
6
Hoesli, Martin
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Hugonnier, Julien
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Obayashi, Yoshiki
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Paolella, Marc S.
6
Scaillet, Olivier
6
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Guasoni, Paolo
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Korn, Ralf
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4
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3
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INFORMS journal on computing : JOC
Mathematical finance : an international journal of mathematics, statistics and financial theory
Research paper series / Swiss Finance Institute
European journal of operational research : EJOR
6
Journal of economic dynamics & control
5
Beiträge aus dem Institut für Statistik und Ökonometrie der Universität Hamburg
2
Journal of the Operational Research Society : OR
2
Operations research
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The journal of computational finance
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Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
1
Journal of banking & finance
1
Journal of risk
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Journal of the Operational Research Society
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Operations research letters
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
6
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1
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
Saved in:
2
Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure
Cui, Xiangyu
;
Li, Duan
;
Li, Xun
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 471-504
Persistent link: https://www.econbiz.de/10011752513
Saved in:
3
Better than dynamic mean-variance : time inconsistency and free cash flow stream
Cui, Xiangyu
;
Li, Duan
;
Wang, Shouyang
;
Zhu, Shushang
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 346-378
Persistent link: https://www.econbiz.de/10009613192
Saved in:
4
Optioned portfolio selection : models and analysis
Liang, Jianfeng
;
Zhang, Shuzhong
;
Li, Duan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 569-593
Persistent link: https://www.econbiz.de/10003769015
Saved in:
5
Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selction
Li, Duan
;
Sun, Xiaoling
;
Jun, Wang
- In:
Mathematical finance : an international journal of …
16
(
2006
)
1
,
pp. 83-101
Persistent link: https://www.econbiz.de/10003336788
Saved in:
6
Optimal dynamic portfolio selection : multiperiod mean-variance formulation
Li, Duan
;
Ng, Wan-lung
- In:
Mathematical finance : an international journal of …
10
(
2000
)
3
,
pp. 387-406
Persistent link: https://www.econbiz.de/10002178964
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