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Multi-period mean-variance portfolio optimization with management fees

Cui, Xiangyu; Gao, Jianjun; Shi, Yun - In: Operational research : an international journal 21 (2021) 2, pp. 1333-1354

Persistent link: https://www.econbiz.de/10012584207

Dynamic mean-variance portfolio optimization with Value-at-Risk constraint in continuous-time

Yu, Dian; Wu, Weiping; Zhou, Ke; Gao, Jianjun; Lu, Junguo - 2021

This paper studies the dynamic mean-risk portfolio optimization problem with variance and Value-at-Risk(VaR) as the risk measures in recognizing the importance of incorporating diﬀerent risk measures in the portfolio management model. Using the martingale approach and combining it with the...

Persistent link: https://www.econbiz.de/10014090102

Special issue International Conference on Optimization: Techniques and Applications (ICOTA), December 15 - 17, 2001, Hong Kong

Li, Duan (contributor); Qi, Liqun (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002900547

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

Optimal order execution using hidden orders

Chen, Yuanyuan; Gao, Xuefeng; Li, Duan - In: Journal of economic dynamics & control 94 (2018), pp. 89-116

Persistent link: https://www.econbiz.de/10012004233

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