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~person:"Li, Duan"
~person:"McAleer, Michael"
~subject:"Mathematical programming"
~type_genre:"Article in journal"
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Search: subject:"Portfoliomanagement"
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Mathematical programming
Portfolio selection
52
Portfolio-Management
52
Theorie
29
Theory
29
Risikomaß
17
Risk measure
17
Mathematische Optimierung
10
Risikomanagement
9
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9
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8
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8
Capital income
8
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Li, Duan
McAleer, Michael
Post, Thierry
9
Kwon, Roy H.
8
Steuer, Ralph E.
8
Zhang, Wei-guo
8
Cesarone, Francesco
7
Qi, Yue
7
Korn, Ralf
6
Steffensen, Mogens
6
Zagst, Rudi
6
Chen, Zhiping
5
Federico, Salvatore
5
Forsyth, Peter A.
5
Keykhaei, Reza
5
Kim, Woo Chang
5
Mavrotas, George
5
Scozzari, Andrea
5
Speranza, Maria Grazia
5
Xu, Fengmin
5
Bansal, Saurabh
4
Ben Abdelaziz, Fouad
4
Chen, Jingnan
4
Costa, Giorgio
4
Escobar, Marcos
4
Gozzi, Fausto
4
Hassapis, Christis
4
Kaucic, Massimiliano
4
Kim, Jang Ho
4
Lee, Yongjae
4
Lejeune, Miguel A.
4
Mansini, Renata
4
Mitra, Gautam
4
Pachamanova, Dessislava A.
4
Puerto, Justo
4
Schmid, Wolfgang
4
Tardella, Fabio
4
Topaloglou, Nikolas
4
Vanduffel, Steven
4
Weissensteiner, Alex
4
Wimmer, Maximilian
4
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European journal of operational research : EJOR
4
Energy economics
1
INFORMS journal on computing : JOC
1
Journal of banking & finance
1
Journal of the Operational Research Society : OR
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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ECONIS (ZBW)
10
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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
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:
3
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:
4
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun
;
Xiong, Yan
;
Li, Duan
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
Saved in:
5
Classical mean-variance model revisited : pseudo efficiency
Cui, Xiangyu
;
Li, Duan
;
Yan, Jia-an
- In:
Journal of the Operational Research Society : OR
66
(
2015
)
10
,
pp. 1646-1655
Persistent link: https://www.econbiz.de/10011417708
Saved in:
6
Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu
;
Gao, Jianjun
;
Li, Xun
;
Li, Duan
- In:
European journal of operational research : EJOR
234
(
2014
)
2
,
pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
Saved in:
7
New reformulations for probabilistically constrained quadratic programs
Hsia, Yong
;
Wu, Baiyi
;
Li, Duan
- In:
European journal of operational research : EJOR
233
(
2014
)
3
,
pp. 550-556
Persistent link: https://www.econbiz.de/10010228240
Saved in:
8
Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal
Cui, Xueting
;
Zhu, Shushang
;
Sun, Xiaoling
;
Li, Duan
- In:
Journal of banking & finance
37
(
2013
)
6
,
pp. 2124-2139
Persistent link: https://www.econbiz.de/10009742471
Saved in:
9
Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
Energy economics
33
(
2011
)
5
,
pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
Saved in:
10
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:
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