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期刊论文 [8]
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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
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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
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提交时间：2019/11/26
Closed form solutions
Conditional Value-at-Risk
Portfolio selection
Risk measures
Robust optimization
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
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提交时间：2019/12/30
chance constraint
portfolio selection
robust optimization
asymmetry
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
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提交时间：2019/12/03
Conditional value at risk(CVaR)
Linear programming(LP)
Portfolio optimization
Robust optimization
Regime-dependent robust portfolio selection model.
期刊论文
Journal of Interdisciplinary Mathematics, 2016, 卷号: Vol.19 No.3, 页码: 517-525
作者:
Yu, Xing
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浏览/下载：3/0
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提交时间：2019/12/31
Efficient frontier
Markov random regime switching CVaR
Mean-variance model
Robust portfolio optimization
Robust conditional value-at-risk optimization for asymmetrically distributed asset returns.
期刊论文
Pac. J. Optim., 2012, 卷号: Vol.8 No.3, 页码: 429-445
作者:
Dai, ZF
;
Li, DH
;
Wen, FH
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浏览/下载：3/0
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提交时间：2020/01/05
portfolio optimization
conditional value at risk (CVaR)
robust optimization
linear programming (LP)
second-order cone programming (SOCP)
A dual-interval vertex analysis method and its application to environmental decision making under uncertainty
期刊论文
european journal of operational research, 2010
Li, Y. P.
;
Huang, G. H.
;
Guo, P.
;
Yang, Z. F.
;
Nie, S. L.
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浏览/下载：7/0
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提交时间：2015/11/10
Air quality
Decision making
Dual interval
Environment
Fuzzy programming
Optimization
Vertex analysis
Uncertainty
LINEAR-PROGRAMMING MODEL
SOLID-WASTE MANAGEMENT
ACID-RAIN ABATEMENT
ROBUST OPTIMIZATION
PORTFOLIO SELECTION
QUALITY MANAGEMENT
FUZZY
COLINEARITY
Robust portfolio selection under downside risk measures
期刊论文
QUANTITATIVE FINANCE, 2009, 卷号: 9, 期号: 7, 页码: 869-885
作者:
Zhu, Shushang
;
Li, Duan
;
Wang, Shouyang
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浏览/下载：11/0
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提交时间：2018/07/30
Portfolio selection
Downside risk
Lower-partial moment
Robust optimization
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