Duan Li

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management

Associate Professor

Shatin, New Territories

Hong Kong

http://www.se.cuhk.edu.hk/~dli/

SCHOLARLY PAPERS

5

DOWNLOADS

216

CITATIONS
Rank 40,132

SSRN RANKINGS

Top 40,132

in Total Papers Citations

4

Scholarly Papers (5)

1.

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

Number of pages: 40 Posted: 05 Sep 2013
Shushang Zhu, Minjie Fan and Duan Li
Zhongshan University, University of California, Davis - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 130 (164,858)

Abstract:

Portfolio selection, Mixture model, Robust optimization, Bayesian learning, Conditional Value-at-Risk

2.

Loss Aversion: A Medium where Better Environment Translates into Inferior Performance

Number of pages: 46 Posted: 26 Mar 2008 Last Revised: 27 May 2010
Jing Yao, Zhongfei Li and Duan Li
School of Economics, Fudan University, Sun Yat-sen Business School, Sun Yat-sen University and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 56 (297,860)

Abstract:

Portfolio choice, loss aversion, investment flexibility, information feedback

3.

Optimal Lot Solution to Cardinality Constrained Meanvariance Formulation for Portfolio Selection

Mathematical Finance, Vol. 16, No. 1, pp. 83-101, January 2006
Number of pages: 19 Posted: 21 Jun 2006
Duan Li, Xiaoling Sun and Jun Wang
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Shanghai University - Department of Mathematics and The Chinese University of Hong Kong (CUHK) - Faculty of Engineering
Downloads 9 (489,241)
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Abstract:

4.

Optioned Portfolio Selection: Models and Analysis

Mathematical Finance, Vol. 18, Issue 4, pp. 569-593, October 2008
Number of pages: 25 Posted: 19 Sep 2008
affiliation not provided to SSRN, The Chinese University of Hong Kong (CUHK) - Faculty of Engineering and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 2 (527,362)
Citation 4
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Abstract:

5.

Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

Mathematical Finance, Vol. 10, Issue 3, July 2000
Posted: 06 Feb 2001
Duan Li and Wan-Lung Ng
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and The Chinese University of Hong Kong (CUHK)

Abstract: