Prof. LI Duan (李端)

Research Output

  1. 2020
  2. Published

    A note on monotone mean–variance preferences for continuous processes

    Strub, M. S. & Li, D., Jul 2020, In : Operations Research Letters. 48, 4, p. 397-400

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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  3. Published

    Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment

    Strub, M. S. & Li, D., Jan 2020, In : Operations Research. 68, 1, p. 199-213

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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  4. Published

    A LINEAR-TIME ALGORITHM FOR GENERALIZED TRUST REGION SUBPROBLEMS

    Jiang, R. & Li, D., 2020, In : SIAM Journal on Optimization. 30, 1, p. 915-932

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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  5. Published

    On Conic Relaxations of Generalization of the Extended Trust Region Subproblem

    Jiang, R. & Li, D., 2020, Optimization of Complex Systems: Theory, Models, Algorithms and Applications. Thi, H. A. L., Le, H. M. & Dinh, T. P. (eds.). Springer Nature Switzerland AG, p. 145-154 (Advances in Intelligent Systems and Computing; vol. 991).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)

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  6. Published

    Semidefinite Programming Based Convex Relaxation for Nonconvex Quadratically Constrained Quadratic Programming

    Jiang, R. & Li, D., 2020, Optimization of Complex Systems: Theory, Models, Algorithms and Applications. Thi, H. A. L., Le, H. M. & Dinh, T. P. (eds.). Springer Nature Switzerland AG, p. 213-220 (Advances in Intelligent Systems and Computing; vol. 991).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)

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  7. 2019
  8. Published

    Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR

    Strub, M. S., Li, D., Cui, X. & Gao, J., Nov 2019, In : Journal of Economic Dynamics and Control. 108, 103751.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 1
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  9. Published

    Second order cone constrained convex relaxations for nonconvex quadratically constrained quadratic programming

    Jiang, R. & Li, D., Oct 2019, In : Journal of Global Optimization. 75, 2, p. 461–494

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 1
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  10. Published

    Information aggregation in a financial market with general signal structure

    Lou, Y., Parsa, S., Ray, D., Li, D. & Wang, S., Sep 2019, In : Journal of Economic Theory. 183, p. 594-624

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 1
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  11. Published

    Quadratic convex reformulation for quadratic programming with linear on–off constraints

    Wu, B., Li, D. & Jiang, R., 1 May 2019, In : European Journal of Operational Research. 274, 3, p. 824-836

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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  12. Published

    Explicit Solution for Constrained Scale-State Stochastic Linear-Quadratic Control with Multiplicative Noise

    Wu, W., Gao, J., Li, D. & Shi, Y., May 2019, In : IEEE Transactions on Automatic Control. 64, 5, p. 1999-2012

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 2
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  13. Published

    NOVEL REFORMULATIONS AND EFFICIENT ALGORITHMS FOR THE GENERALIZED TRUST REGION SUBPROBLEM

    JIANG, R. & LI, D., 2019, In : SIAM Journal on Optimization. 29, 2, p. 1603-1633

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 2
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  14. 2018
  15. Published

    Optimal order execution using hidden orders

    Chen, Y., Gao, X. & Li, D., Sep 2018, In : Journal of Economic Dynamics and Control. 94, p. 89-116

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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  16. SOCP reformulation for the generalized trust region subproblem via a canonical form of two symmetric matrices

    Jiang, R., Li, D. & Wu, B., Jun 2018, In : Mathematical Programming. 169, 2, p. 531-563

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 7
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  17. Published

    集装箱拼箱中产品包装尺寸标准化问题研究

    支凯强, 王军 & 李端, May 2018, In : 标准科学. 2018年, 5, p. 105-109

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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  18. Published

    Portfolio optimization with nonparametric value at risk: A block coordinate descent method

    Cui, X., Sun, X., Zhu, S., Jiang, R. & Li, D., 2018, In : INFORMS Journal on Computing. 30, 3, p. 454-471

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 1
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  19. 2017
  20. Time consistent behavioral portfolio policy for dynamic mean–variance formulation

    Cui, X., Li, X., Li, D. & Shi, Y., Dec 2017, In : Journal of the Operational Research Society. 68, 12, p. 1647-1660

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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  21. Stochastic Control for Optimal Execution: Fast Approximation Solution Scheme Under Nested Mean-semi Deviation and Conditional Value at Risk

    He, M., Li, D. & Chen, Y., Jun 2017, In : Journal of the Operations Research Society of China. 5, 2, p. 161-176

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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  22. MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE

    Cui, X., Li, D. & Li, X., Apr 2017, In : Mathematical Finance. 27, 2, p. 471-504

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 27
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  23. Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework

    Cui, X., Li, D. & Shi, Y., Feb 2017, In : Journal of Economic Dynamics and Control. 75, p. 91-113

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 11
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  24. Dynamic mean-lpm and mean-cvar portfolio optimization in continuous-Time

    Gao, J., Zhou, K., Li, D. & Cao, X., 2017, In : SIAM Journal on Control and Optimization. 55, 3, p. 1377-1397

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 8
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