What is he best known for?
The fields of study he is best known for:
- Mathematical optimization
- Statistics
- Mathematical analysis
His primary scientific interests are in Mathematical optimization, Portfolio, Selection, Optimization problem and Cardinality.
His Mathematical optimization research is multidisciplinary, relying on both Nonlinear programming and Constraint.
His work on Portfolio optimization as part of general Portfolio research is frequently linked to Variance, bridging the gap between disciplines.
His Portfolio optimization research incorporates elements of Stock exchange, Modern portfolio theory and Project portfolio management.
His studies in Optimization problem integrate themes in fields like Dynamic programming and Integer programming.
Duan Li interconnects Applied mathematics, Compressed sensing and Relaxation in the investigation of issues within Cardinality.
His most cited work include:
- Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (699 citations)
- Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (652 citations)
- Nonlinear integer programming (271 citations)
What are the main themes of his work throughout his whole career to date?
Duan Li spends much of his time researching Mathematical optimization, Portfolio, Portfolio optimization, Dynamic programming and Optimization problem.
His study in Global optimization, Integer programming, Quadratic programming, Stochastic control and Optimal control is done as part of Mathematical optimization.
His study in Portfolio is interdisciplinary in nature, drawing from both Time consistency, Mathematical economics, Dynamic inconsistency, Econometrics and Selection.
While working on this project, Duan Li studies both Selection and Variance.
Duan Li has included themes like Downside risk, Modern portfolio theory and Actuarial science in his Portfolio optimization study.
His biological study spans a wide range of topics, including Multi-objective optimization and Parametric statistics.
He most often published in these fields:
- Mathematical optimization (62.20%)
- Portfolio (30.95%)
- Portfolio optimization (17.86%)
What were the highlights of his more recent work (between 2013-2021)?
- Mathematical optimization (62.20%)
- Portfolio (30.95%)
- Portfolio optimization (17.86%)
In recent papers he was focusing on the following fields of study:
His primary scientific interests are in Mathematical optimization, Portfolio, Portfolio optimization, Econometrics and Selection.
His Mathematical optimization study combines topics in areas such as Quadratic function and Trading strategy.
His Portfolio research is multidisciplinary, incorporating perspectives in Prospect theory, Mathematical economics, Dynamic inconsistency and Time consistency.
His work deals with themes such as Downside risk, Stochastic control, Modern portfolio theory and Robustness, which intersect with Portfolio optimization.
His research integrates issues of Mean variance, Financial market, Expected shortfall and Inequality in his study of Econometrics.
In his research, Current is intimately related to Piecewise linear function, which falls under the overarching field of Selection.
Between 2013 and 2021, his most popular works were:
- Optimal multi-period mean–variance policy under no-shorting constraint (66 citations)
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection (38 citations)
- Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach (35 citations)
In his most recent research, the most cited papers focused on:
- Mathematical optimization
- Statistics
- Mathematical analysis
Mathematical optimization, Portfolio, Portfolio optimization, Econometrics and Dynamic inconsistency are his primary areas of study.
Many of his research projects under Mathematical optimization are closely connected to Expected utility maximization with Expected utility maximization, tying the diverse disciplines of science together.
His research in Portfolio intersects with topics in Investment strategy, Selection, Time consistency and Bellman equation.
His Portfolio optimization research includes elements of Downside risk, Stochastic control, Robustness and Parametric statistics.
His studies deal with areas such as Stochastic process, Dynamic programming, Investment and Decision analysis as well as Stochastic control.
His Econometrics study incorporates themes from Welfare economics, Expected shortfall and Loss aversion.
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