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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

Portfolio management with robustness in both prediction and decision : a mixture model based learning approach

Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25

Persistent link: https://www.econbiz.de/10010485842

Portfolio Management with Dual Robustness in Prediction and Optimization : A Mixture Model Based Learning Approach

Zhu, Shushang - 2013

We develop in this paper a novel portfolio selection framework with a feature of dual robustness in both return distribution modeling and portfolio optimization. While predicting the return distributions of the future market always represents the most compelling challenge in investment, any...

Persistent link: https://www.econbiz.de/10013076696

A portfolio selection model using fuzzy returns

Li, Duan; Stahlecker, Peter - In: Fuzzy optimization and decision making : a journal of … 10 (2011) 2, pp. 167-191

Persistent link: https://www.econbiz.de/10009240941

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

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

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

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

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

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