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Li, Duan’ AUTHOR PAGE
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E-Mail: dli@se.cuhk.edu.hk
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webpage: http://www.se.cuhk.edu.hk/~dli/
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Affiliation: Chinese University of Hong Kong
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Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time 2014
Gao, Jianjun
Li, Duan
Zhou, Ke
Cao, Xiren
 
Our contributions are two-fold, in both building up tractable formulations and deriving corresponding analytical solutions. By imposing a limit fundin...
Nonlinear Portfolio Selection using Approximate Parametric Value-at-Risk 2013
Li, Duan
Zhu, Shu-Shang
Sun, Xiaoling
Cui, Xueting
 
We investigate in this paper nonlinear portfolio selection models using approximate parametric Value-at-Risk (VaR). More specifically, we use first-or...
Roy’s Safety-First Portfolio Principle in Financial Risk Management of Disastrous Events 2012
Wong, Hoi Ying
Li, Duan
Chiu, Mei Choi
 
The safety-first principle advocates an optimal portfolio strategy generated from minimizing the disaster probability, while subject to the budget con...
Robust Portfolio Selection under Downside Risk Measures 2009
Zhu, Shu-Shang
Wang, Shouyang
Li, Duan
 
We investigate a robust version of the portfolio selection problem under a risk measure based on the lower-partial moment (LPM), where uncertainty exi...
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