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~person:"Li, Duan"
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Portfolio selection
48
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48
Theorie
38
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38
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13
Mathematische Optimierung
13
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8
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Li, Duan
Fabozzi, Frank J.
262
Maurer, Raimond
126
Mitchell, Olivia S.
114
Guidolin, Massimo
93
Platen, Eckhard
92
Satchell, Stephen
81
Lo, Andrew W.
80
Campbell, John Y.
79
McAleer, Michael
73
Ang, Andrew
70
Gollier, Christian
70
Hens, Thorsten
69
Uppal, Raman
69
Kraft, Holger
64
Bodie, Zvi
61
Schenk-Hoppé, Klaus Reiner
58
Korn, Ralf
57
Williamson, Oliver E.
57
Markowitz, Harry
56
Blake, David
54
Viceira, Luis M.
54
Wong, Wing Keung
54
Zaremba, Adam
54
Levy, Haim
53
Pedersen, Lasse Heje
51
Stambaugh, Robert F.
51
Weber, Martin
51
Wermers, Russ
50
Elton, Edwin J.
49
Evstigneev, Igor V.
48
Post, Thierry
48
Prigent, Jean-Luc
48
Guasoni, Paolo
47
Račev, Svetlozar T.
47
Scherer, Bernd
47
Kane, Alex
46
Lucas, André
46
Zhou, Guofu
46
Zagst, Rudi
45
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European journal of operational research : EJOR
6
Journal of economic dynamics & control
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Beiträge aus dem Institut für Statistik und Ökonometrie der Universität Hamburg
2
Journal of the Operational Research Society : OR
2
Operations research
2
The journal of computational finance
2
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
1
INFORMS journal on computing : JOC
1
Journal of banking & finance
1
Journal of risk
1
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)
48
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1
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:
2
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:
3
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:
4
A robust set-valued scenario approach for handling modeling risk in portfolio optimization
Zhu, Shushang
;
Jin, Xiaodong
;
Li, Duan
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 11-40
Persistent link: https://www.econbiz.de/10011480704
Saved in:
5
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang
;
Li, Zhongfei
;
Li, Duan
- In:
European journal of operational research : EJOR
252
(
2016
)
3
,
pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
Saved in:
6
Discrete-time behavioral portfolio selection under cumulative prospect theory
Shi, Yun
;
Cui, Xiangyu
;
Li, Duan
- In:
Journal of economic dynamics & control
61
(
2015
),
pp. 283-302
Persistent link: https://www.econbiz.de/10011589538
Saved in:
7
Failing to foresee the updating of the reference point leads to time-inconsistent investment
Strub, Moris S.
;
Li, Duan
- In:
Operations research
68
(
2020
)
1
,
pp. 199-213
Persistent link: https://www.econbiz.de/10012172306
Saved in:
8
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:
9
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Cui, Xiangyu
;
Li, Xun
;
Li, Duan
;
Shi, Yun
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
12
,
pp. 1647-1660
Persistent link: https://www.econbiz.de/10011816054
Saved in:
10
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
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