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西安交通大学 [5]
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Robust Portfolio Selection Based on Copula Change Analysis
期刊论文
Emerging Markets Finance and Trade, 2019
作者:
Han, Y.
;
Li, P.
;
Li, J.
;
Wu, S.
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/30
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
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
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  |  
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
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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
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
An empirical study of chance-constrained portfolio selection model
会议论文
5th International Conference on Information Technology and Quantitative Management (ITQM), New Delhi, INDIA, 2017-01-01
作者:
Han, Yingwei
;
Li, Ping
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  |  
浏览/下载:9/0
  |  
提交时间:2019/12/30
chance constraint
portfolio selection
robust optimization
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
Robust portfolio selection under norm uncertainty
期刊论文
2016
作者:
Wang, Lei
;
Cheng, Xi
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  |  
浏览/下载:1/0
  |  
提交时间:2019/12/09
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