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科研机构

西安交通大学 [5]

厦门大学 [3]

上海财经大学 [3]

清华大学 [2]

北京航空航天大学 [1]

科技战略咨询研究院 [1]

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期刊论文 [13]

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	Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates 期刊论文 INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2020 作者: Liu, Bing-Yue; Ji, Qiang; Nguyen, Duc Khuong; Fan, Ying 收藏 \| 浏览/下载：6/0 \| 提交时间：2021/01/16
	On Coherent Risk Measures Induced by Convex Risk Measures 期刊论文 METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2018, 卷号: 20, 页码: 673-698 作者: Chen, Zhiping; Hu, Qianhui 收藏 \| 浏览/下载：2/0 \| 提交时间：2019/11/26 Portfolio selection Convex risk measure Robust representation Coherent risk measure Entropic conditional value-at-risk
	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 Conditional Value-at-Risk Dynamic portfolio selection Optimal investments Portfolio selection Portfolio selection models Portfolio selection problems Risk measures Robust optimization
	Sparse and Multiple Risk Measures Approach for Data Driven Mean-CVaR Portfolio Optimization Model 专著章节出自: OPTIMIZATION AND CONTROL FOR SYSTEMS IN THE BIG-DATA ERA: THEORY AND APPLICATIONS, 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES:SPRINGER, 2017, 页码: 167-183 作者: Gao, Jianjun; Wu, Weiping 收藏 \| 浏览/下载：5/0 \| 提交时间：2019/08/22 Conditional value-at-risk Portfolio optimization Multiple risk measures Sparse portfolio Out-of-sample stability
	DYNAMIC MEAN-LPM AND MEAN-CVAR PORTFOLIO OPTIMIZATION IN CONTINUOUS-TIME 期刊论文 SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2017, 卷号: 55, 期号: 3, 页码: 1377-1397 作者: Gao, Jianjun; Zhou, Ke; Li, Duan; Cao, Xiren 收藏 \| 浏览/下载：4/0 \| 提交时间：2019/08/22 dynamic mean-downside risk portfolio optimization lower-partial moments LPM conditional value-at-risk portfolio CVaR stochastic control martingale approach
	Recursive risk measures under regime switching applied to portfolio selection 期刊论文 QUANTITATIVE FINANCE, 2017, 卷号: 17, 页码: 1457-1476 作者: Chen, Zhiping; Liu, Jia; Hui, Yongchang 收藏 \| 浏览/下载：5/0 \| 提交时间：2019/11/26 Regime switching Time consistency Dynamic portfolio selection C61 Conditional value-at-risk Factor model Recursive risk measure G11
	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 收藏 \| 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
	Time consistency and time consistent generalized convex multistage risk measures 期刊论文 IMA JOURNAL OF MANAGEMENT MATHEMATICS, 2016, 卷号: 27, 页码: 419-437 作者: Yang, Li; Chen, Zhi Ping; Zhang, Feng 收藏 \| 浏览/下载：2/0 \| 提交时间：2019/11/26 conditional risk measure generalized convex risk measure time consistency of optimal policy multi-period risk measure time consistency of risk measure
	厦门市低出生体质量儿危险因素病例对照研究期刊论文 2015 伍啸青; 陈岚枫; 张金华; 牛建军; 周裕林; 谢荣珍; 王昊平; 陈国伟; 蔡黎新; 叶曦; 李学来; 李国伟收藏 \| 浏览/下载：4/0 \| 提交时间：2016/05/17 低出生体质量儿危险因素病例对照研究 low birth weight infant risk factor case-control study
	The relations among the three kinds of conditional risk measures 期刊论文 Science China Mathematics, 2014, 卷号: 57, 期号: 8, 页码: 1753-1764 作者: Guo TieXin*; Zhao ShiEn; Zeng XiaoLin 收藏 \| 浏览/下载：3/0 \| 提交时间：2019/12/03 random normed module countable concatenation property L∞(E)-conditional risk measure Lp(E)-conditional risk measure (1 ⩽ p < + ∞) LFp(E)-conditional risk measure (1 ⩽ p ⩽ +∞) extension 46A22 46A25 46H25 91B16 91B30 91B70

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