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Browsing "Department of Statistics & Actuarial Science" by Author li, zf
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Showing results 1 to 8 of 8
Title
Author(s)
Issue Date
Characterization of weak no-arbitrage in frictional markets
Journal:
Chinese Journal of Management Science
Li, ZF
Wang, Y
Yang, H
2002
Characterization of weak no-arbitrage in frictional markets
Proceeding/Conference:
International Conference on Optimization
Deng, XT
Li, ZF
Wang, SY
Yang, H
2001
A closed-form solution to a dynamic portfolio optimization problem
Journal:
Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
Li, ZF
Ng, KW
Tan, KS
Yang, H
2005
Continuous-time optimal portfolio selection using mean-CaR models
Journal:
Nonlinear Dynamics and Systems Theory
Li, ZF
Ng, KW
Deng, XT
2007
Model risk in VaR estimation: An empirical study
Journal:
International Journal of Information Technology and Decision Making
Yao, J
Li, ZF
Ng, KW
2006
Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
Journal:
Annals of Operations Research
Deng, X
Li, ZF
Wang, S
Yang, H
2005
Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection
Journal:
International Journal of Theoretical and Applied Finance
Li, ZF
Ng, KW
Tan, KS
Yang, H
2006
Optimal dynamic portfolio selection with earnings-at-risk
Journal:
Journal of Optimization Theory and Applications
Li, ZF
Yang, H
Deng, XT
2007