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CORC

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Multi-period portfolio selection with investor views based on scenario tree 期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2022, 卷号: 418, 页码: 14
作者:  Zhao, Daping;  Bai, Lin;  Fang, Yong;  Wang, Shouyang
收藏  |  浏览/下载：13/0  |  提交时间：2022/06/21
Asset selection based on high frequency Sharpe ratio 期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
作者:  Wang, Christina Dan;  Chen, Zhao;  Lian, Yimin;  Chen, Min
收藏  |  浏览/下载：21/0  |  提交时间：2022/04/29
Portfolio Selection Based on Bayesian Theory 期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2019, 卷号: 2019, 页码: 11
作者:  Zhao, Daping;  Fang, Yong;  Zhang, Chaoliang;  Wang, Zongrun
收藏  |  浏览/下载：14/0  |  提交时间：2020/05/24
Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2019, 卷号: 276, 期号: 2, 页码: 781-789
作者:  Cui, Xiangyu;  Gao, Jianjun;  Shi, Yun;  Zhu, Shushang
收藏  |  浏览/下载：39/0  |  提交时间：2019/08/22
LINEAR QUADRATIC STOCHASTIC OPTIMAL CONTROL PROBLEMS WITH OPERATOR COEFFICIENTS: OPEN-LOOP SOLUTIONS 期刊论文
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2019, 卷号: 25
作者:  Wei, Qingmeng;  Yong, Jiongmin;  Yu, Zhiyong
收藏  |  浏览/下载：16/0  |  提交时间：2019/12/11
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
收藏  |  浏览/下载：15/0  |  提交时间：2019/08/22
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
收藏  |  浏览/下载：11/0  |  提交时间：2019/11/26
MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE 期刊论文
MATHEMATICAL FINANCE, 2017, 卷号: 27, 期号: 2, 页码: 471-504
作者:  Cui, Xiangyu;  Li, Duan;  Li, Xun
收藏  |  浏览/下载：3/0  |  提交时间：2019/08/22
Self-coordination in time inconsistent stochastic decision problems: A planner-doer game framework 期刊论文
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2017, 卷号: 75, 页码: 91-113
作者:  Cui, Xiangyu;  Li, Duan;  Shi, Yun
收藏  |  浏览/下载：31/0  |  提交时间：2019/08/22
A penalty PALM method for sparse portfolio selection problems 期刊论文
OPTIMIZATION METHODS & SOFTWARE, 2017, 卷号: 32, 页码: 126-147
作者:  Teng, Yue;  Yang, Li;  Yu, Bo;  Song, Xiaoliang
收藏  |  浏览/下载：4/0  |  提交时间：2019/12/02

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