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西安交通大学 [3]
数学与系统科学研究院 [3]
北京大学 [2]
北京航空航天大学 [2]
中南大学 [2]
湖南大学 [2]
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期刊论文 [18]
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2019 [1]
2018 [4]
2017 [3]
2016 [4]
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2012 [1]
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Data-Driven Robust Credit Portfolio Optimization for Investment Decisions in P2P Lending
期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2019, 卷号: 2019
作者:
Chi, Guotai
;
Ding, Shijie
;
Peng, Xiankun
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浏览/下载:9/0
  |  
提交时间:2019/12/02
Costs
Financial data processing
Risk assessment
Risk perception, Credit risk assessment
Historical observation
Investment decisions
Investment performance
Optimization problems
Portfolio optimization
Relative entropy constraints
Relative entropy method, Investments
Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
期刊论文
INFORMS JOURNAL ON COMPUTING, 2018, 卷号: 30, 期号: 3, 页码: 454-471
作者:
Cui, Xueting
;
Sun, Xiaoling
;
Zhu, Shushang
;
Jiang, Rujun
;
Li, Duan
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  |  
浏览/下载:15/0
  |  
提交时间:2019/08/22
portfolio selection
nonparametric VaR
kernel
BCD method
A sparse enhanced indexation model with chance and cardinality constraints
期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2018, 卷号: 70, 期号: 1, 页码: 5-25
作者:
Xu, Fengmin
;
Wang, Meihua
;
Dai, Yu-Hong
;
Xu, Dachuan
收藏
  |  
浏览/下载:17/0
  |  
提交时间:2018/07/30
Enhanced indexation
Chance constraint
Mixed integer programming
Distributionally robust approach
Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection
期刊论文
Journal of the Operations Research Society of China, 2018, 卷号: 6, 页码: 139-158
作者:
Liu, Jia
;
Chen, Zhi-Ping
;
Hui, Yong-Chang
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  |  
浏览/下载:11/0
  |  
提交时间:2019/11/26
Conditional Value-at-Risk
Dynamic portfolio selection
Optimal investments
Portfolio selection
Portfolio selection models
Portfolio selection problems
Risk measures
Robust optimization
Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 卷号: 268, 页码: 373-385
作者:
Liu, Jia
;
Chen, Zhiping
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  |  
浏览/下载:10/0
  |  
提交时间:2019/11/26
Risk management
Dynamic portfolio selection
Multi-period risk measure
Distributionally robust optimization
Regime switching
Robust two-stage stochastic linear optimization with risk aversion
期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2017, 卷号: 256, 期号: 1, 页码: 215-229
作者:
Ling, Aifan
;
Sun, Jie
;
Xiu, Naihua
;
Yang, Xiaoguang
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  |  
浏览/下载:27/0
  |  
提交时间:2018/07/30
Uncertainty modeling
Stochastic programming
Robust optimization
Conditional value-at-risk
Semidefinite programming
Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance
期刊论文
Applied Mathematics and Optimization, 2017, 页码: 1-23
作者:
Liu, Jia
;
Chen, Zhiping
;
Lisser, Abdel
;
Xu, Zhujia
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  |  
浏览/下载:3/0
  |  
提交时间:2019/11/26
Closed form solutions
Conditional Value-at-Risk
Portfolio selection
Risk measures
Robust optimization
Dynamic robust portfolio selection with copulas
期刊论文
FINANCE RESEARCH LETTERS, 2017, 卷号: 21, 页码: 190-200
作者:
Han, Yingwei
;
Li, Ping
;
Xia, Yong
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  |  
浏览/下载:9/0
  |  
提交时间:2019/12/30
Conditional value-at-Risk
Robust optimization
DCC Copulas
Copula-GARCH
Asymmetry
Generating Trading Rules for Stock Markets Using Robust Genetic Network Programming and Portfolio Beta
期刊论文
JOURNAL OF ADVANCED COMPUTATIONAL INTELLIGENCE AND INTELLIGENT INFORMATICS, 2016, 卷号: 20, 期号: 3, 页码: 484-491
作者:
Chen, Yan
;
Shi, Zhihui
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  |  
浏览/下载:3/0
  |  
提交时间:2019/08/22
portfolio beta
genetic relation algorithm
robust genetic network programming
stock trading
Worse-Case Conditional Value-at-Risk for Asymmetrically Distributed Asset Scenarios Returns
期刊论文
JOURNAL OF COMPUTATIONAL ANALYSIS AND APPLICATIONS, 2016, 卷号: 20, 期号: 2, 页码: 237-251
作者:
Dai, Zhifeng
;
Li, Donghui
;
Wen, Fenghua*
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/03
Conditional value at risk(CVaR)
Linear programming(LP)
Portfolio optimization
Robust optimization
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