Edit Profile (opens in new tab) Li, Zhongfei Co-Author Distance Author ID: li.zhongfei Published as: Li, Zhongfei; Li, Zhong Fei; Li, Zhong-Fei; Li, Z. F.; Li, Z.; Li, Zhong-fei more...less Homepage: https://www.sustech.edu.cn/en/faculties/lizhongfei.html Documents Indexed: 126 Publications since 1991 Co-Authors: 54 Co-Authors with 110 Joint Publications 2,043 Co-Co-Authors all top 5 Co-Authors 14 single-authored 25 Zeng, Yan 24 Wang, Shouyang 11 Yao, Haixiang 10 Deng, Xiao-Tie 6 Chen, Shumin 5 Gu, Ailing 5 Lai, Yongzeng 5 Li, Xingyi 5 Li, Yongwu 5 Sun, Jingyun 5 Yang, Hailiang 5 Yi, Bo 4 Kang, Zhilin 4 Li, Xun 4 Tan, Ken Seng 4 Viens, Frederi G. 4 Wu, Huiling 4 Zhang, Ling 3 Bian, Lihua 3 Coladas, Luis 3 Ge, Hao 3 Guo, Xianping 3 Ng, Kai Wang 3 Wang, Pei 3 Xie, Shuxiang 2 A, Chunxiang 2 Cai, Maocheng 2 Chen, Zheng 2 Huang, Yonghui 2 Li, Chanjuan 2 Li, Duan 2 Rong, Weidong 2 Wang, Fan 2 Xu, Yunhui 1 Chen, Guangya 1 Cong, Jianfa 1 Craven, Bruce Desmond 1 Deng, Xiaothie 1 Fu, Ke 1 Jia, Jihong 1 Jiang, Yukang 1 Law, Baron 1 Li, Kemian 1 Li, Zhongxiang 1 Lin, Shiyun 1 Liu, Jingjun 1 Ma, Qinghua 1 Shen, Shuguang 1 Shi, Ailing 1 Tan, Jianbin 1 Tian, Ting 1 Wang, Xueqin 1 Wu, Xianping 1 Xu, Zuoquan 1 Yi, Jianxin 1 Yi, Lan 1 Zeng, Yanshan 1 Zhang, Jingwen 1 Zhang, Weiwei 1 Zhu, Shushang all top 5 Serials 15 Insurance Mathematics & Economics 13 Journal of Inner Mongolia University 11 Journal of Systems Science and Mathematical Sciences 11 Journal of Industrial and Management Optimization 5 Journal of Optimization Theory and Applications 5 Optimization 4 Acta Scientiarum Naturalium Universitatis Sunyatseni 4 Journal of Systems Science and Complexity 3 Journal of Mathematical Analysis and Applications 3 Operations Research Letters 2 Bulletin of the Australian Mathematical Society 2 International Journal of Systems Science 2 Acta Mathematicae Applicatae Sinica 2 Mathematics in Practice and Theory 2 European Journal of Operational Research 2 Mathematical Problems in Engineering 2 Mathematical Methods of Operations Research 2 Scandinavian Actuarial Journal 2 Quantitative Finance 2 Dynamics of Continuous, Discrete & Impulsive Systems. Series B. Applications & Algorithms 2 OR Transactions 2 Operations Research Transactions 1 International Journal of Control 1 Applied Mathematics and Computation 1 Theoretical Computer Science 1 Acta Mathematicae Applicatae Sinica. English Series 1 Chinese Journal of Applied Probability and Statistics 1 Computers & Operations Research 1 Journal of Qufu Normal University. Natural Science 1 Asia-Pacific Journal of Operational Research 1 Journal of Economic Dynamics & Control 1 Applied Mathematics Letters 1 Annals of Operations Research 1 International Journal of Foundations of Computer Science 1 Communications in Statistics. Theory and Methods 1 Top 1 International Journal of Theoretical and Applied Finance 1 Journal of Applied Statistics 1 Applied Stochastic Models in Business and Industry 1 Progress in Natural Science 1 Control Theory & Applications 1 Nonlinear Dynamics and Systems Theory 1 IMA Journal of Management Mathematics 1 North American Actuarial Journal 1 SIAM Journal on Financial Mathematics 1 Annals of Finance 1 Journal of the Operations Research Society of China 1 Electronic Research Archive all top 5 Fields 91 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 63 Operations research, mathematical programming (90-XX) 28 Systems theory; control (93-XX) 24 Calculus of variations and optimal control; optimization (49-XX) 22 Probability theory and stochastic processes (60-XX) 9 Statistics (62-XX) 1 Ordinary differential equations (34-XX) 1 Functional analysis (46-XX) 1 Numerical analysis (65-XX) 1 Computer science (68-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 81 Publications have been cited 1,458 times in 803 Documents Cited by ▼ Year ▼ Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Zbl 1218.91167 Zeng, Yan; Li, Zhongfei 122 2011 Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. Zbl 1290.91103 Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan 99 2013 Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Zbl 1284.91250 Li, Zhongfei; Zeng, Yan; Lai, Yongzeng 90 2012 Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Zbl 1285.91057 Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan 70 2012 Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Zbl 1284.91282 Zeng, Yan; Li, Zhongfei; Lai, Yongzeng 68 2013 Benson proper efficiency in the vector optimization of set-valued maps. Zbl 0913.90235 Li, Z. F. 60 1998 Optimal investment-reinsurance policy for an insurance company with VaR constraint. Zbl 1231.91155 Chen, Shumin; Li, Zhongfei; Li, Kemian 57 2010 Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Zbl 1401.91208 Yi, Bo; Viens, Frederi; Li, Zhongfei; Zeng, Yan 47 2015 Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach. Zbl 1141.91474 Xie, Shuxiang; Li, Zhongfei; Wang, Shouyang 46 2008 Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion. Zbl 1284.91249 Li, Yongwu; Li, Zhongfei 42 2013 A minimax portfolio selection strategy with equilibrium. Zbl 1066.91039 Deng, Xiao-Tie; Li, Zhong-Fei; Wang, Shou-Yang 38 2005 A theorem of the alternative and its application to the optimization of set-valued maps. Zbl 0915.90253 Li, Z. 35 1999 Lagrange multipliers and saddle points in multiobjective programming. Zbl 0823.90107 Li, Z. F.; Wang, S. Y. 35 1994 Lagrangian multipliers, saddle points, and duality in vector optimization of set-valued maps. Zbl 0893.90150 Li, Zhongfei; Chen, Guangya 35 1997 Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. Zbl 1402.91217 Wang, Pei; Li, Zhongfei 31 2018 Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model. Zbl 1314.91128 A, Chunxiang; Li, Zhongfei 31 2015 Optimal dividend strategies with time-inconsistent preferences. Zbl 1402.91671 Chen, Shumin; Li, Zhongfei; Zeng, Yan 31 2014 Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. Zbl 1394.91203 Chen, Zheng; Li, Zhongfei; Zeng, Yan; Sun, Jingyun 29 2017 Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model. Zbl 1348.91261 Sun, Jingyun; Li, Zhongfei; Zeng, Yan 29 2016 Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers. Zbl 1269.90085 Zeng, Yan; Li, Zhongfei; Liu, Jingjun 28 2010 Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow. Zbl 1237.91210 Wu, Huiling; Li, Zhongfei 27 2012 Mean-CVaR portfolio selection: a nonparametric estimation framework. Zbl 1349.91323 Yao, Haixiang; Li, Zhongfei; Lai, Yongzeng 26 2013 \(\varepsilon\)-approximate solutions in multiobjective optimization. Zbl 0916.90242 Li, Zhongfei; Wang, Shouyang 24 1998 Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon. Zbl 1231.91415 Wu, Huiling; Li, Zhongfei 23 2011 Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market. Zbl 1237.91224 Zeng, Yan; Li, Zhongfei 22 2011 Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability. Zbl 1346.91224 Yao, Haixiang; Li, Zhongfei; Li, Duan 19 2016 Multi-period portfolio selection for asset-liability management with uncertain investment horizon. Zbl 1160.90544 Yi, Lan; Li, Zhongfei; Li, Duan 19 2008 Scalarization and Lagrange duality in multiobjective optimization. Zbl 0817.90100 Wang, S.; Li, Z. 18 1992 Multi-period portfolio optimization for asset-liability management with bankrupt control. Zbl 1279.91146 Li, Chanjuan; Li, Zhongfei 14 2012 Optimal reinsurance-investment strategies for insurers under mean-car criteria. Zbl 1292.91099 Zeng, Yan; Li, Zhongfei 13 2012 A linear programming algorithm for optimal portfolio selection with transaction costs. Zbl 1080.93573 Li, Zhong-Fei; Wang, Shou-Yang; Deng, Xiao-Tie 13 2000 Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176 Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei 13 2015 Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity. Zbl 1460.91242 Wang, Pei; Li, Zhongfei; Sun, Jingyun 12 2021 Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Zbl 1407.91225 Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang 11 2019 Optimality conditions for multiobjective and nonsmooth minimisation in abstract spaces. Zbl 0827.90121 Coladas, L.; Li, Z.; Wang, S. 11 1994 Minimum risk probability for finite horizon semi-Markov decision processes. Zbl 1267.90169 Huang, Yonghui; Guo, Xianping; Li, Zhongfei 11 2013 Connectedness of super efficient sets in vector optimization of set-valued maps. Zbl 0928.90081 Li, Zhong-Fei; Wang, Shou-Yang 10 1998 Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. Zbl 1416.91159 Bian, Lihua; Li, Zhongfei; Yao, Haixiang 10 2018 A type of minimax inequality for vector-valued mappings. Zbl 0913.90275 Li, Z. F.; Wang, S. Y. 9 1998 Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty. Zbl 1408.91227 Chen, Shumin; Li, Zhongfei; Zeng, Yan 9 2018 Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Zbl 1317.90248 Yao, Haixiang; Li, Zhongfei; Lai, Yongzeng 8 2016 Equilibrium dividend strategy with non-exponential discounting in a dual model. Zbl 1335.91065 Li, Yongwu; Li, Zhongfei; Zeng, Yan 8 2016 Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated. Zbl 1264.91121 Zhang, Ling; Li, Zhongfei 8 2012 Multi-period mean variance portfolio selection under incomplete information. Zbl 1420.91437 Zhang, Ling; Li, Zhongfei; Xu, Yunhui; Li, Yongwu 7 2016 Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets. Zbl 1278.91155 Zeng, Yan; Li, Zhongfei; Wu, Huiling 6 2013 Optimal investment strategy under time-inconsistent preferences and high-water mark contract. Zbl 1408.91188 A, Chunxiang; Li, Zhongfei; Wang, Fan 5 2016 Paréto equilibria in multicriteria metagames. Zbl 0853.90129 Wang, Shou Yang; Li, Zhong Fei 5 1995 An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution. Zbl 1388.91139 Kang, Zhilin; Li, Zhongfei 5 2018 Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate. Zbl 1476.91141 Bian, Lihua; Li, Zhongfei; Yao, Haixiang 5 2021 Mean-variance portfolio optimization under stochastic income and uncertain exit time. Zbl 1184.93121 Li, Zhongfei; Xie, Shuxiang 5 2010 Two types of duality in multiobjective fractional programming. Zbl 0874.90168 Coladas, L.; Li, Z.; Wang, S. 4 1996 Computational complexity of arbitrage in frictional security market. Zbl 1066.91560 Deng, Xiaotie; Li, Zhongfei; Wang, Shouyang 4 2002 \(\epsilon \)-conjugate maps and \(\epsilon \)-conjugate duality in vector optimization with set-valued maps. Zbl 1152.90593 Jia, Ji-Hong; Li, Zhong-Fei 4 2008 Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty. Zbl 1481.91198 Li, Zhongfei; Tan, Ken Seng; Yang, Hailiang 4 2008 Optimal portfolio selection of assets with transaction costs and no short sales. Zbl 1018.91024 Li, Zhong-Fei; Li, Zhong-Xiang; Wang, Shou-Yang; Deng, Xiao-Tie 3 2001 On computation of arbitrage for markets with friction. Zbl 1087.91508 Deng, Xiaotie; Li, Zhongfei; Wang, Shouyang 3 2000 Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function. Zbl 1369.91086 Gu, Ailing; Li, Zhongfei 3 2016 Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston’s SV model. Zbl 1400.91563 Sun, Jingyun; Li, Zhongfei; Li, Yongwu 3 2016 Mean-CVaR portfolio selection model with ambiguity in distribution and attitude. Zbl 1476.91152 Kang, Zhilin; Li, Xingyi; Li, Zhongfei 3 2020 Constrained optimality for finite horizon semi-Markov decision processes in Polish spaces. Zbl 1408.90310 Huang, Yonghui; Li, Zhongfei; Guo, Xianping 2 2014 Control variate methods and applications to Asian and basket options pricing under jump-diffusion models. Zbl 1433.91177 Lai, Yongzeng; Li, Zhongfei; Zeng, Yan 2 2015 Optimal investment with noise trading risk. Zbl 1175.91166 Xu, Yunhui; Li, Zhongfei; Tan, Ken Seng 2 2008 Necessary conditions of the optimal multi-period proportional reinsurance strategy. Zbl 1199.91087 Li, Zhongfei; Cong, Jianfa 2 2008 The premium of dynamic trading in a discrete-time setting. Zbl 1400.91571 Yao, Haixiang; Li, Zhongfei; Li, Xingyi 2 2016 Continuous-time optimal portfolio selection with liability. Zbl 1150.91398 Xie, Shuxiang; Li, Zhongfei 2 2007 Optimal portfolio selection with life insurance under subjective survival belief and habit formation. Zbl 1524.91109 Shi, Ailing; Li, Xingyi; Li, Zhongfei 2 2023 Global efficiency in multiobjective programming. Zbl 0955.90122 Wang, Shouyang; Li, Zhongfei; Craven, B. D. 1 1999 A minimax inequality for vector-valued mappings. Zbl 0978.90104 Li, Z. F.; Wang, S. Y. 1 1999 Benson proper efficiency of vector optimization of set-valued maps. Zbl 0958.90074 Li, Zhongfei 1 1998 A closed-form solution to a dynamic portfolio optimization problem. Zbl 1127.91026 Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang 1 2005 Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs. Zbl 1317.90314 Chen, Shu-min; Li, Zhong-fei 1 2015 Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection. Zbl 1138.91460 Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang 1 2006 The maximal linearly independent group of assets and the two-fund separation theorem. Zbl 1240.91160 Yao, Haixiang; Li, Zhongfei; Ma, Qinghua 1 2010 An optimal investment strategy under Ornstein-Uhlenbeck model for a DC pension plan. Zbl 1299.91119 Gu, Ailing; Li, Zhongfei; Zeng, Yan 1 2013 Dividend optimization for jump-diffusion model with solvency constraints. Zbl 1525.91176 Li, Yongwu; Li, Zhongfei; Wang, Shouyang; Xu, Zuo Quan 1 2020 Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset. Zbl 1361.90047 Yao, Haixiang; Li, Zhongfei; Li, Xun; Zeng, Yan 1 2017 Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model. Zbl 1501.91153 Gu, Ailing; Chen, Shumin; Li, Zhongfei; Viens, Frederi G. 1 2022 Portfolio model and its explicit expressions of portfolio efficient frontier with minimum investment proportion constraint. Zbl 1212.91102 Yao, Haixiang; Li, Zhongfei 1 2009 Optimal dynamic portfolio selection with earnings-at-risk. Zbl 1148.91019 Li, Z. F.; Yang, H.; Deng, X. T. 1 2007 Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance. Zbl 1524.91092 Sun, Jingyun; Yao, Haixiang; Li, Zhongfei 1 2023 Data-driven analysis of the simulations of the spread of COVID-19 under different interventions of China. Zbl 07742674 Tian, Ting; Zhang, Jingwen; Lin, Shiyun; Jiang, Yukang; Tan, Jianbin; Li, Zhongfei; Wang, Xueqin 1 2023 Optimal portfolio selection with life insurance under subjective survival belief and habit formation. Zbl 1524.91109 Shi, Ailing; Li, Xingyi; Li, Zhongfei 2 2023 Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance. Zbl 1524.91092 Sun, Jingyun; Yao, Haixiang; Li, Zhongfei 1 2023 Data-driven analysis of the simulations of the spread of COVID-19 under different interventions of China. Zbl 07742674 Tian, Ting; Zhang, Jingwen; Lin, Shiyun; Jiang, Yukang; Tan, Jianbin; Li, Zhongfei; Wang, Xueqin 1 2023 Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model. Zbl 1501.91153 Gu, Ailing; Chen, Shumin; Li, Zhongfei; Viens, Frederi G. 1 2022 Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity. Zbl 1460.91242 Wang, Pei; Li, Zhongfei; Sun, Jingyun 12 2021 Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate. Zbl 1476.91141 Bian, Lihua; Li, Zhongfei; Yao, Haixiang 5 2021 Mean-CVaR portfolio selection model with ambiguity in distribution and attitude. Zbl 1476.91152 Kang, Zhilin; Li, Xingyi; Li, Zhongfei 3 2020 Dividend optimization for jump-diffusion model with solvency constraints. Zbl 1525.91176 Li, Yongwu; Li, Zhongfei; Wang, Shouyang; Xu, Zuo Quan 1 2020 Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Zbl 1407.91225 Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang 11 2019 Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. Zbl 1402.91217 Wang, Pei; Li, Zhongfei 31 2018 Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. Zbl 1416.91159 Bian, Lihua; Li, Zhongfei; Yao, Haixiang 10 2018 Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty. Zbl 1408.91227 Chen, Shumin; Li, Zhongfei; Zeng, Yan 9 2018 An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution. Zbl 1388.91139 Kang, Zhilin; Li, Zhongfei 5 2018 Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. Zbl 1394.91203 Chen, Zheng; Li, Zhongfei; Zeng, Yan; Sun, Jingyun 29 2017 Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset. Zbl 1361.90047 Yao, Haixiang; Li, Zhongfei; Li, Xun; Zeng, Yan 1 2017 Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model. Zbl 1348.91261 Sun, Jingyun; Li, Zhongfei; Zeng, Yan 29 2016 Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability. Zbl 1346.91224 Yao, Haixiang; Li, Zhongfei; Li, Duan 19 2016 Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Zbl 1317.90248 Yao, Haixiang; Li, Zhongfei; Lai, Yongzeng 8 2016 Equilibrium dividend strategy with non-exponential discounting in a dual model. Zbl 1335.91065 Li, Yongwu; Li, Zhongfei; Zeng, Yan 8 2016 Multi-period mean variance portfolio selection under incomplete information. Zbl 1420.91437 Zhang, Ling; Li, Zhongfei; Xu, Yunhui; Li, Yongwu 7 2016 Optimal investment strategy under time-inconsistent preferences and high-water mark contract. Zbl 1408.91188 A, Chunxiang; Li, Zhongfei; Wang, Fan 5 2016 Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function. Zbl 1369.91086 Gu, Ailing; Li, Zhongfei 3 2016 Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston’s SV model. Zbl 1400.91563 Sun, Jingyun; Li, Zhongfei; Li, Yongwu 3 2016 The premium of dynamic trading in a discrete-time setting. Zbl 1400.91571 Yao, Haixiang; Li, Zhongfei; Li, Xingyi 2 2016 Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Zbl 1401.91208 Yi, Bo; Viens, Frederi; Li, Zhongfei; Zeng, Yan 47 2015 Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model. Zbl 1314.91128 A, Chunxiang; Li, Zhongfei 31 2015 Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176 Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei 13 2015 Control variate methods and applications to Asian and basket options pricing under jump-diffusion models. Zbl 1433.91177 Lai, Yongzeng; Li, Zhongfei; Zeng, Yan 2 2015 Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs. Zbl 1317.90314 Chen, Shu-min; Li, Zhong-fei 1 2015 Optimal dividend strategies with time-inconsistent preferences. Zbl 1402.91671 Chen, Shumin; Li, Zhongfei; Zeng, Yan 31 2014 Constrained optimality for finite horizon semi-Markov decision processes in Polish spaces. Zbl 1408.90310 Huang, Yonghui; Li, Zhongfei; Guo, Xianping 2 2014 Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. Zbl 1290.91103 Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan 99 2013 Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Zbl 1284.91282 Zeng, Yan; Li, Zhongfei; Lai, Yongzeng 68 2013 Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion. Zbl 1284.91249 Li, Yongwu; Li, Zhongfei 42 2013 Mean-CVaR portfolio selection: a nonparametric estimation framework. Zbl 1349.91323 Yao, Haixiang; Li, Zhongfei; Lai, Yongzeng 26 2013 Minimum risk probability for finite horizon semi-Markov decision processes. Zbl 1267.90169 Huang, Yonghui; Guo, Xianping; Li, Zhongfei 11 2013 Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets. Zbl 1278.91155 Zeng, Yan; Li, Zhongfei; Wu, Huiling 6 2013 An optimal investment strategy under Ornstein-Uhlenbeck model for a DC pension plan. Zbl 1299.91119 Gu, Ailing; Li, Zhongfei; Zeng, Yan 1 2013 Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Zbl 1284.91250 Li, Zhongfei; Zeng, Yan; Lai, Yongzeng 90 2012 Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Zbl 1285.91057 Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan 70 2012 Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow. Zbl 1237.91210 Wu, Huiling; Li, Zhongfei 27 2012 Multi-period portfolio optimization for asset-liability management with bankrupt control. Zbl 1279.91146 Li, Chanjuan; Li, Zhongfei 14 2012 Optimal reinsurance-investment strategies for insurers under mean-car criteria. Zbl 1292.91099 Zeng, Yan; Li, Zhongfei 13 2012 Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated. Zbl 1264.91121 Zhang, Ling; Li, Zhongfei 8 2012 Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Zbl 1218.91167 Zeng, Yan; Li, Zhongfei 122 2011 Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon. Zbl 1231.91415 Wu, Huiling; Li, Zhongfei 23 2011 Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market. Zbl 1237.91224 Zeng, Yan; Li, Zhongfei 22 2011 Optimal investment-reinsurance policy for an insurance company with VaR constraint. Zbl 1231.91155 Chen, Shumin; Li, Zhongfei; Li, Kemian 57 2010 Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers. Zbl 1269.90085 Zeng, Yan; Li, Zhongfei; Liu, Jingjun 28 2010 Mean-variance portfolio optimization under stochastic income and uncertain exit time. Zbl 1184.93121 Li, Zhongfei; Xie, Shuxiang 5 2010 The maximal linearly independent group of assets and the two-fund separation theorem. Zbl 1240.91160 Yao, Haixiang; Li, Zhongfei; Ma, Qinghua 1 2010 Portfolio model and its explicit expressions of portfolio efficient frontier with minimum investment proportion constraint. Zbl 1212.91102 Yao, Haixiang; Li, Zhongfei 1 2009 Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach. Zbl 1141.91474 Xie, Shuxiang; Li, Zhongfei; Wang, Shouyang 46 2008 Multi-period portfolio selection for asset-liability management with uncertain investment horizon. Zbl 1160.90544 Yi, Lan; Li, Zhongfei; Li, Duan 19 2008 \(\epsilon \)-conjugate maps and \(\epsilon \)-conjugate duality in vector optimization with set-valued maps. Zbl 1152.90593 Jia, Ji-Hong; Li, Zhong-Fei 4 2008 Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty. Zbl 1481.91198 Li, Zhongfei; Tan, Ken Seng; Yang, Hailiang 4 2008 Optimal investment with noise trading risk. Zbl 1175.91166 Xu, Yunhui; Li, Zhongfei; Tan, Ken Seng 2 2008 Necessary conditions of the optimal multi-period proportional reinsurance strategy. Zbl 1199.91087 Li, Zhongfei; Cong, Jianfa 2 2008 Continuous-time optimal portfolio selection with liability. Zbl 1150.91398 Xie, Shuxiang; Li, Zhongfei 2 2007 Optimal dynamic portfolio selection with earnings-at-risk. Zbl 1148.91019 Li, Z. F.; Yang, H.; Deng, X. T. 1 2007 Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection. Zbl 1138.91460 Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang 1 2006 A minimax portfolio selection strategy with equilibrium. Zbl 1066.91039 Deng, Xiao-Tie; Li, Zhong-Fei; Wang, Shou-Yang 38 2005 A closed-form solution to a dynamic portfolio optimization problem. Zbl 1127.91026 Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang 1 2005 Computational complexity of arbitrage in frictional security market. Zbl 1066.91560 Deng, Xiaotie; Li, Zhongfei; Wang, Shouyang 4 2002 Optimal portfolio selection of assets with transaction costs and no short sales. Zbl 1018.91024 Li, Zhong-Fei; Li, Zhong-Xiang; Wang, Shou-Yang; Deng, Xiao-Tie 3 2001 A linear programming algorithm for optimal portfolio selection with transaction costs. Zbl 1080.93573 Li, Zhong-Fei; Wang, Shou-Yang; Deng, Xiao-Tie 13 2000 On computation of arbitrage for markets with friction. Zbl 1087.91508 Deng, Xiaotie; Li, Zhongfei; Wang, Shouyang 3 2000 A theorem of the alternative and its application to the optimization of set-valued maps. Zbl 0915.90253 Li, Z. 35 1999 Global efficiency in multiobjective programming. Zbl 0955.90122 Wang, Shouyang; Li, Zhongfei; Craven, B. D. 1 1999 A minimax inequality for vector-valued mappings. Zbl 0978.90104 Li, Z. F.; Wang, S. Y. 1 1999 Benson proper efficiency in the vector optimization of set-valued maps. Zbl 0913.90235 Li, Z. F. 60 1998 \(\varepsilon\)-approximate solutions in multiobjective optimization. Zbl 0916.90242 Li, Zhongfei; Wang, Shouyang 24 1998 Connectedness of super efficient sets in vector optimization of set-valued maps. Zbl 0928.90081 Li, Zhong-Fei; Wang, Shou-Yang 10 1998 A type of minimax inequality for vector-valued mappings. Zbl 0913.90275 Li, Z. F.; Wang, S. Y. 9 1998 Benson proper efficiency of vector optimization of set-valued maps. Zbl 0958.90074 Li, Zhongfei 1 1998 Lagrangian multipliers, saddle points, and duality in vector optimization of set-valued maps. Zbl 0893.90150 Li, Zhongfei; Chen, Guangya 35 1997 Two types of duality in multiobjective fractional programming. Zbl 0874.90168 Coladas, L.; Li, Z.; Wang, S. 4 1996 Paréto equilibria in multicriteria metagames. Zbl 0853.90129 Wang, Shou Yang; Li, Zhong Fei 5 1995 Lagrange multipliers and saddle points in multiobjective programming. Zbl 0823.90107 Li, Z. F.; Wang, S. Y. 35 1994 Optimality conditions for multiobjective and nonsmooth minimisation in abstract spaces. Zbl 0827.90121 Coladas, L.; Li, Z.; Wang, S. 11 1994 Scalarization and Lagrange duality in multiobjective optimization. Zbl 0817.90100 Wang, S.; Li, Z. 18 1992 all cited Publications top 5 cited Publications all top 5 Cited by 987 Authors 48 Li, Zhongfei 32 Zeng, Yan 27 Rong, Ximin 26 Li, Danping 26 Zhao, Hui 21 Yao, Haixiang 17 Shen, Yang 15 Yang, Xinmin 14 Guan, Guohui 14 Wang, Shouyang 13 Xu, Yihong 12 Jin, Zhuo 12 Li, Shengjie 12 Liang, Zongxia 11 Liang, Zhibin 11 Wong, Hoi Ying 10 Chen, Ping 10 Chen, Zhiping 10 Gu, Ailing 10 Li, Xun 10 Novo-Sanjurjo, Vicente 10 Peng, Xingchun 10 Zhou, Jieming 9 Huang, Xiaoxia 9 Huang, Ya 9 Yuan, Yu 9 Zhang, Ling 8 Chang, Hao 8 Chen, Peimin 8 Sun, Zhongyang 8 Weng, Chengguo 8 Xiao, Helu 8 Zhou, Zhongbao 7 Chen, Shumin 7 Dang, Duy Minh 7 Forsyth, Peter A. 7 Guo, Xianping 7 Han, Xia 7 Huang, Nan-Jing 7 Mehra, Aparna 7 Mi, Hui 7 Sun, Jingyun 7 Viens, Frederi G. 7 Yang, Peng 7 Zhang, Xin 7 Zhao, Peibiao 6 Antczak, Tadeusz 6 Bai, Yanfei 6 Chen, Fenge 6 Cui, Xiangyu 6 Gutiérrez, César 6 He, Yong 6 Hu, Duni 6 Lai, Yongzeng 6 Li, Duan 6 Peng, Zhenhua 6 Pham Huu Sach 6 Suneja, Surjeet Kaur 6 Teo, Kok Lay 6 Wang, Hailong 6 Wang, Ning 6 Wei, Jiaqin 6 Wu, Huiling 6 Xu, Lin 6 Yan, Tingjin 6 Yi, Bo 6 Young, Virginia R. 6 Yuen, Kam Chuen 6 Zhang, Yan 6 Zhang, Yumo 5 Bi, Junna 5 Chen, Guangya 5 Chen, Shou 5 Deng, Chao 5 Ding, Xie Ping 5 Dong, Yinghui 5 Kang, Zhilin 5 Khorram, Esmaile 5 Li, Bin 5 Peng, Jianwen 5 Siu, Tak Kuen 5 Van Staden, Pieter M. 5 Wang, Liyuan 5 Wang, Qilin 5 Wang, Rongming 5 Yu, Guolin 5 Zhou, Zhi-Ang 4 A, Chunxiang 4 Adán, Miguel 4 Bhatia, Davinder 4 Bian, Lihua 4 Chen, Lv 4 Deng, Yingchun 4 Gadhi, Nazih Abderrazzak 4 Gao, Rui 4 Guo, Junyi 4 Jiménez, Bienvenido 4 Landriault, David 4 Li, Sheng 4 Li, Shuanming ...and 887 more Authors all top 5 Cited in 144 Serials 103 Insurance Mathematics & Economics 63 Journal of Industrial and Management Optimization 37 Journal of Optimization Theory and Applications 35 European Journal of Operational Research 34 Communications in Statistics. Theory and Methods 31 Optimization 28 Journal of Computational and Applied Mathematics 25 Mathematical Problems in Engineering 23 Scandinavian Actuarial Journal 21 Journal of Mathematical Analysis and Applications 15 Journal of Systems Science and Complexity 12 Methodology and Computing in Applied Probability 11 Acta Mathematicae Applicatae Sinica. English Series 11 Journal of Global Optimization 10 International Journal of Control 10 Annals of Operations Research 10 Mathematical Methods of Operations Research 10 Discrete Dynamics in Nature and Society 9 Operations Research Letters 9 Abstract and Applied Analysis 9 Journal of Inequalities and Applications 8 Applied Mathematics and Optimization 8 Numerical Functional Analysis and Optimization 8 Journal of Economic Dynamics & Control 8 Quantitative Finance 8 Optimization Letters 7 Mathematical Control and Related Fields 6 Computers & Mathematics with Applications 6 Opsearch 6 Computers & Operations Research 6 Journal of the Operations Research Society of China 5 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 5 Asia-Pacific Journal of Operational Research 5 Applied Mathematics. Series B (English Edition) 5 Positivity 5 Soft Computing 5 SIAM Journal on Financial Mathematics 5 Annals of Finance 4 Automatica 4 Optimization Methods & Software 4 International Journal of Theoretical and Applied Finance 4 Stochastic Models 3 Bulletin of the Australian Mathematical Society 3 Applied Mathematics and Computation 3 Applied Mathematics and Mechanics. (English Edition) 3 Chinese Journal of Applied Probability and Statistics 3 Japan Journal of Industrial and Applied Mathematics 3 Computational and Applied Mathematics 3 Top 3 RAIRO. Operations Research 3 The ANZIAM Journal 3 North American Actuarial Journal 3 Numerical Algebra, Control and Optimization 3 Journal of Dynamics and Games 3 Journal of Function Spaces 3 Open Mathematics 2 International Journal of General Systems 2 International Journal of Systems Science 2 Physica A 2 Chaos, Solitons and Fractals 2 Fuzzy Sets and Systems 2 INFOR 2 Information Sciences 2 Optimal Control Applications & Methods 2 Acta Mathematicae Applicatae Sinica 2 Statistics & Probability Letters 2 Stochastic Analysis and Applications 2 Applied Mathematics Letters 2 Neural Networks 2 Applied Mathematical Modelling 2 Automation and Remote Control 2 International Journal of Computer Mathematics 2 Complexity 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 Probability in the Engineering and Informational Sciences 2 Journal of Applied Mathematics 2 Acta Mathematica Scientia. Series B. (English Edition) 2 ASTIN Bulletin 2 Journal of Applied Mathematics and Computing 2 Asia-Pacific Financial Markets 2 Fuzzy Optimization and Decision Making 2 Computational Management Science 2 Fixed Point Theory and Applications 2 Mathematics and Financial Economics 2 Journal of Nonlinear Science and Applications 2 Science China. Mathematics 2 Electronic Research Archive 1 Advances in Applied Probability 1 Acta Mathematica Vietnamica 1 Journal of Economic Theory 1 Kybernetika 1 Numerische Mathematik 1 SIAM Journal on Control and Optimization 1 Theoretical Computer Science 1 Theory and Decision 1 Systems & Control Letters 1 Bulletin of the Korean Mathematical Society 1 Numerical Methods for Partial Differential Equations 1 Mathematical and Computer Modelling 1 Economics Letters ...and 44 more Serials all top 5 Cited in 24 Fields 562 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 312 Operations research, mathematical programming (90-XX) 222 Systems theory; control (93-XX) 140 Calculus of variations and optimal control; optimization (49-XX) 137 Probability theory and stochastic processes (60-XX) 53 Statistics (62-XX) 12 Numerical analysis (65-XX) 10 Partial differential equations (35-XX) 9 Real functions (26-XX) 9 Ordinary differential equations (34-XX) 5 Functional analysis (46-XX) 5 Operator theory (47-XX) 5 Convex and discrete geometry (52-XX) 5 General topology (54-XX) 4 Integral equations (45-XX) 4 Biology and other natural sciences (92-XX) 3 Computer science (68-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Mathematical logic and foundations (03-XX) 1 Functions of a complex variable (30-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Algebraic topology (55-XX) 1 Mathematics education (97-XX) Citations by Year