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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
Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach 期刊论文
MATHEMATICS OF OPERATIONS RESEARCH, 2018, 卷号: 43, 期号: 2, 页码: 347-376
作者:  Jin, Xing;  Luo, Dan;  Zeng, Xudong
收藏  |  浏览/下载：7/0  |  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
Time Inconsistency and Self-Control Optimization Problems: Progress and Challenges 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: 33-42
作者:  Shi, Yun;  Cui, Xiangyu
收藏  |  浏览/下载：4/0  |  提交时间：2019/08/22
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-VaR portfolio selection in continuous time 期刊论文
QUANTITATIVE FINANCE, 2017, 卷号: 17, 期号: 10, 页码: 1631-1643
作者:  Zhou, Ke;  Gao, Jiangjun;  Li, Duan;  Cui, Xiangyu
收藏  |  浏览/下载：6/0  |  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
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion 期刊论文
OPTIMIZATION LETTERS, 2016, 卷号: 10, 期号: 8, 页码: 1681-1691
作者:  Cui, Xiangyu;  Xu, Lu;  Zeng, Yan
收藏  |  浏览/下载：7/0  |  提交时间：2019/08/22
Mean-variance portfolio optimization with parameter sensitivity control 期刊论文
OPTIMIZATION METHODS & SOFTWARE, 2016, 卷号: 31, 期号: 4, 页码: 755-774
作者:  Cui, Xueting;  Zhu, Shushang;  Li, Duan;  Sun, Jie
收藏  |  浏览/下载：3/0  |  提交时间：2019/08/22
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
收藏  |  浏览/下载：3/0  |  提交时间：2019/08/22

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