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CORC

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Sample average approximation of CVaR-based hedging problem with a deep-learning solution 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
作者:  Peng, Cheng;  Li, Shuang;  Zhao, Yanlong;  Bao, Ying
收藏  |  浏览/下载：85/0  |  提交时间：2021/04/26
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
Portfolio selection through Maslow’s need hierarchy theory 期刊论文
Applied Economics, 2019, 卷号: 51, 页码: 364-372
作者:  Li, Zongxin;  Chen, Zhiping;  Hui, Yongchang
收藏  |  浏览/下载：9/0  |  提交时间：2019/11/19
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
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
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
收藏  |  浏览/下载：27/0  |  提交时间：2018/07/30
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
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
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

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