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Duan Li · Study
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Author
Duan Li
35 works
· latest 2021
· 3 institutions
cluster: provisional
ORCID 0000-0001-9786-6238
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35
Citations
4,823
Works here
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Most cited in this library
Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
2000 · 1,009 citations
Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation
2000 · 994 citations
Mean–variance analysis of a single supplier and retailer supply chain under a returns policy
2007 · 223 citations
Channel coordination in supply chains with agents having mean-variance objectives☆
2007 · 174 citations
Asset and liability management under a continuous-time mean–variance optimization framework
2006 · 173 citations
Works
35 shown
Decentralized Robust Portfolio Optimization Based on Cooperative-Competitive Multiagent Systems
IEEE Transactions on Cybernetics
·
2021
·
3 authors
40
citations
Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment
Operations Research
·
2019
·
2 authors
·
Open access
33
citations
BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability
RePEc: Research Papers in Economics
·
2019
·
6 authors
·
preprint
·
Open access
44
citations
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
SIAM Journal on Control and Optimization
·
2017
·
4 authors
45
citations
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
European Journal of Operational Research
·
2016
·
3 authors
51
citations
Discrete-time behavioral portfolio selection under cumulative prospect theory
Journal of Economic Dynamics and Control
·
2015
·
3 authors
47
citations
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
European Journal of Operational Research
·
2015
·
3 authors
·
Open access
48
citations
Dynamic Trading with Reference Point Adaptation and Loss Aversion
Operations Research
·
2015
·
4 authors
61
citations
MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE
Mathematical Finance
·
2015
·
3 authors
·
Open access
53
citations
Time cardinality constrained mean–variance dynamic portfolio selection and market timing: A stochastic control approach
Automatica
·
2015
·
4 authors
49
citations
Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
IEEE Transactions on Automatic Control
·
2014
·
3 authors
66
citations
Optimal Cardinality Constrained Portfolio Selection
Operations Research
·
2013
·
2 authors
154
citations
Prospect theory and trading patterns
Journal of Banking & Finance
·
2013
·
2 authors
·
Open access
41
citations
Nonlinear portfolio selection using approximate parametric Value-at-Risk
Journal of Banking & Finance
·
2013
·
4 authors
39
citations
Bounded rationality as a source of loss aversion and optimism: A study of psychological adaptation under incomplete information
Journal of Economic Dynamics and Control
·
2012
·
2 authors
·
Open access
48
citations
Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events
Risk Analysis
·
2012
·
3 authors
42
citations
Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint
European Journal of Operational Research
·
2012
·
4 authors
·
Open access
124
citations
BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
Mathematical Finance
·
2010
·
4 authors
130
citations
Robust portfolio selection under downside risk measures
Quantitative Finance
·
2009
·
3 authors
59
citations
Price Wall or War: The Pricing Strategies for Retailers
IEEE Transactions on Systems Man and Cybernetics - Part A Systems and Humans
·
2009
·
3 authors
52
citations
Mean–Variance Analysis for the Newsvendor Problem
IEEE Transactions on Systems Man and Cybernetics - Part A Systems and Humans
·
2008
·
3 authors
133
citations
Multi-period portfolio selection for asset-liability management with uncertain investment horizon
Journal of Industrial and Management Optimization
·
2008
·
3 authors
·
Open access
52
citations
Channel coordination in supply chains with agents having mean-variance objectives☆
Omega
·
2007
·
3 authors
174
citations
Mean–variance analysis of a single supplier and retailer supply chain under a returns policy
European Journal of Operational Research
·
2007
·
3 authors
223
citations
Asset and liability management under a continuous-time mean–variance optimization framework
Insurance Mathematics and Economics
·
2006
·
2 authors
173
citations
OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
Mathematical Finance
·
2006
·
3 authors
163
citations
Quick response policy with Bayesian information updates
European Journal of Operational Research
·
2004
·
3 authors
84
citations
Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
IEEE Transactions on Automatic Control
·
2004
·
3 authors
167
citations
Optimal returns policy for supply chain with e-marketplace
International Journal of Production Economics
·
2003
·
3 authors
113
citations
Optimal two-stage ordering policy with Bayesian information updating
Journal of the Operational Research Society
·
2003
·
2 authors
136
citations
Optimal single ordering policy with multiple delivery modes and Bayesian information updates
Computers & Operations Research
·
2003
·
3 authors
57
citations
Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation
Mathematical Finance
·
2000
·
2 authors
994
citations
Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
Applied Mathematics & Optimization
·
2000
·
2 authors
1,009
citations
Safety-first dynamic portfolio selection
·
1998
·
3 authors
55
citations
Selection of Probability Distributions in Characterizing Risk of Extreme Events
Risk Analysis
·
1994
·
5 authors
64
citations