Prof. LI Duan (李端)

Research Output

  1. 2019
  2. 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 journalNot applicablepeer-review

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  3. 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 journalNot applicablepeer-review

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  4. 2018
  5. 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 journalNot applicablepeer-review

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  6. 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 journalNot applicablepeer-review

    Scopus citations: 2
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  7. 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 journalNot applicablepeer-review

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  8. 2017
  9. 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 journalNot applicablepeer-review

    Scopus citations: 5
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  10. 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 journalNot applicablepeer-review

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  11. 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 journalNot applicablepeer-review

    Scopus citations: 18
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  12. 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 journalNot applicablepeer-review

    Scopus citations: 8
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  13. 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 journalNot applicablepeer-review

    Scopus citations: 2
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  14. Dynamic mean–VaR portfolio selection in continuous time

    ZHOU, K., GAO, J., LI, D. & CUI, X., 2017, In : Quantitative Finance. 17, 10, p. 1631-1643

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 2
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  15. Quadratic convex reformulations for semicontinuous quadratic programming

    WU, B., SUN, X., LI, D. & ZHENG, X., 2017, In : SIAM Journal on Optimization. 27, 3, p. 1531-1553

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 1
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  16. 2016
  17. Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability

    Yao, H., Li, Z. & Li, D., 1 Aug 2016, In : European Journal of Operational Research. 252, 3, p. 837-851

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 17
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  18. Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

    Gao, J., Xiong, Y. & Li, D., 1 Mar 2016, In : European Journal of Operational Research. 249, 2, p. 647-656

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 9
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  19. Dedicated to the memory of Professor Xiaoling Sun (1963–2014)

    Li, D., Sun, J. & Teo, K. L., 2016, In : Optimization Methods and Software. 31, 4, p. 679-680

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)Editorial PrefaceNot applicable

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  20. Mean–variance portfolio optimization with parameter sensitivity control

    Cui, X., Zhu, S., Li, D. & Sun, J., 2016, In : Optimization Methods and Software. 31, 4, p. 755-774

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  21. Simultaneous diagonalization of matrices and its applications in quadraticall y constrained quadratic programming

    JIANG, R. & LI, D., 2016, In : SIAM Journal on Optimization. 26, 3, p. 1649-1668

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 6
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  22. Strong duality in optimization: shifted power reformulation

    Xia, Y. & Li, D., 2016, In : Optimization Methods and Software. 31, 4, p. 720-736

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  23. 2015
  24. Discrete-time behavioral portfolio selection under cumulative prospect theory

    Shi, Y., Cui, X. & Li, D., Dec 2015, In : Journal of Economic Dynamics and Control. 61, p. 283-302

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 10
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  25. A robust set-valued scenario approach for handling modeling risk in portfolio optimization

    Zhu, S., Ji, X. & Li, D., Sep 2015, In : Journal of Computational Finance. 19, 1, p. 11-40

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 5
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