| Publication | Date of Publication | Type |
|---|
| The cost of delay as risk measure in target-based multi-period portfolio selection models | 2024-11-13 | Paper |
| Optimal reinsurance contract and investment strategy for multiple competitive-cooperative insurers and a reinsurer | 2024-11-13 | Paper |
| Multi-stage distributionally robust convex stochastic optimization with Bayesian-type ambiguity sets | 2024-10-30 | Paper |
| A Bayesian approach to data-driven multi-stage stochastic optimization | 2024-10-14 | Paper |
| Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity | 2024-09-18 | Paper |
| Discrete approximation and convergence analysis for a class of decision-dependent two-stage stochastic linear programs | 2024-09-11 | Paper |
| Optimal time-consistent social health insurance and private health insurance strategy under a new health insurance framework | 2024-07-29 | Paper |
| Concentrated portfolio selection models based on historical data | 2024-07-18 | Paper |
| Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem | 2024-07-10 | Paper |
| Actor-critic reinforcement learning algorithms for mean field games in continuous time, state and action spaces | 2024-07-01 | Paper |
| A dynamical neural network approach for distributionally robust chance-constrained Markov decision process | 2024-07-01 | Paper |
| Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework | 2024-02-23 | Paper |
| A DEA‐based method of allocating the fixed cost as a complement to the original input | 2023-11-17 | Paper |
| Regularized methods for a two-stage robust production planning problem and its sample average approximation | 2023-09-12 | Paper |
| Equilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk tolerance | 2023-06-27 | Paper |
| Data-driven Approximation of Distributionally Robust Chance Constraints using Bayesian Credible Intervals | 2023-06-22 | Paper |
| Optimal reinsurance and investment with a common shock and a random exit time | 2023-05-26 | Paper |
| Modified super-efficiency DEA models for solving infeasibility under non-negative data set | 2023-03-15 | Paper |
| Distributionally Robust Chance Constrained Geometric Optimization | 2023-01-09 | Paper |
| Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas | 2022-09-30 | Paper |
| A new branch-and-bound algorithm for solving large-scale complex integer convex quadratic programming problems | 2022-09-22 | Paper |
| Multi-stage portfolio selection problem with dynamic stochastic dominance constraints | 2022-06-29 | Paper |
| A mental account-based portfolio selection model with an application for data with smaller dimensions | 2022-06-22 | Paper |
| Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball | 2022-05-31 | Paper |
| Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process | 2022-05-30 | Paper |
| Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework | 2022-03-02 | Paper |
| Interval-based stochastic dominance: theoretical framework and application to portfolio choices | 2022-01-24 | Paper |
| Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties | 2021-12-13 | Paper |
| Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse | 2021-11-30 | Paper |
| Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts | 2021-11-23 | Paper |
| Multistage Utility Preference Robust Optimization | 2021-09-10 | Paper |
| Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion | 2021-09-10 | Paper |
| Performance ratio-based coherent risk measure and its application | 2021-07-16 | Paper |
| A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems | 2021-01-06 | Paper |
| Optimal strategy with multiple risky assets for DC pension plans under inflation: a market completion framework | 2020-08-12 | Paper |
| A sparse chance constrained portfolio selection model with multiple constraints | 2020-08-07 | Paper |
| Robust optimal reinsurance-investment strategy with price jumps and correlated claims | 2020-08-03 | Paper |
| Rectangular chance constrained geometric optimization | 2020-07-14 | Paper |
| Quantitative stability of fully random two-stage stochastic programs with mixed-integer recourse | 2020-06-24 | Paper |
| Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework | 2020-03-23 | Paper |
| Quantitative stability of multistage stochastic programs via calm modifications | 2020-02-10 | Paper |
| Fixed input allocation methods based on super CCR efficiency invariance and practical feasibility | 2020-01-29 | Paper |
| Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching | 2019-11-08 | Paper |
| Quantitative stability analysis of two-stage stochastic linear programs with full random recourse | 2019-10-28 | Paper |
| Multivariate robust second-order stochastic dominance and resulting risk-averse optimization | 2019-10-21 | Paper |
| Stability of multistage stochastic programs with quadratic objective functions | 2019-10-02 | Paper |
| Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance | 2019-06-19 | Paper |
| Time consistency and time consistent generalized convex multistage risk measures | 2019-06-18 | Paper |
| Optimal policy for a time consistent mean-variance model with regime switching | 2019-06-18 | Paper |
| Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization | 2019-03-07 | Paper |
| Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework | 2019-02-20 | Paper |
| Stochastic geometric optimization with joint probabilistic constraints | 2019-01-11 | Paper |
| Data-driven robust chance constrained problems: a mixture model approach | 2018-11-27 | Paper |
| Recursive risk measures under regime switching applied to portfolio selection | 2018-11-19 | Paper |
| Time-consistent investment policies in Markovian markets: a case of mean-variance analysis | 2018-11-01 | Paper |
| On coherent risk measures induced by convex risk measures | 2018-08-14 | Paper |
| Time consistent multi-period worst-case risk measure in robust portfolio selection | 2018-08-10 | Paper |
| Limit and shakedown analysis under hydrogen embrittlement condition | 2018-08-01 | Paper |
| Stochastic differential investment-reinsurance games with capital injection-threshold dividend | 2018-07-18 | Paper |
| Time consistent multi-period robust risk measures and portfolio selection models with regime-switching | 2018-05-30 | Paper |
| Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse | 2018-05-18 | Paper |
| Dynamic network DEA approach with diversification to multi-period performance evaluation of funds | 2017-08-25 | Paper |
| Optimal investment-reinsurance-hybrid dividend strategies for insurance company under compound Poisson-geometric risk process | 2017-05-17 | Paper |
| Dynamic buckling of cylindrical shells with arbitrary axisymmetric thickness variation under time dependent external pressure | 2017-04-07 | Paper |
| Composite time-consistent multi-period risk measure and its application in optimal portfolio selection | 2017-03-28 | Paper |
| Stochastic geometric programming with joint probabilistic constraints | 2017-02-14 | Paper |
| Buckling of cylindrical shells with general axisymmetric thickness imperfections under external pressure | 2016-10-12 | Paper |
| Continuity of parametric mixed-integer quadratic programs and its application to stability analysis of two-stage quadratic stochastic programs with mixed-integer recourse | 2016-05-23 | Paper |
| Lipschitz continuity of the optimal value function and KKT solution set in indefinite quadratic programs | 2016-01-15 | Paper |
| Quantitative stability of full random two-stage stochastic programs with recourse | 2015-09-24 | Paper |
| A new approach for allocating fixed costs among decision making units | 2015-07-31 | Paper |
| Time consistent policy of multi-period mean-variance | 2015-07-31 | Paper |
| Continuity and stability of two-stage stochastic programs with quadratic continuous recourse | 2015-07-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5499455 | 2015-02-11 | Paper |
| A scenario tree generation algorithm under MGARCH models | 2015-02-11 | Paper |
| Continuity and stability of fully random two-stage stochastic programs with mixed-integer recourse | 2014-12-05 | Paper |
| Time inconsistency of the mean-variance optimal policy in stochastic markets and its revision | 2014-06-30 | Paper |
| Optimal investment policy in the time consistent mean-variance formulation | 2014-04-03 | Paper |
| Strong consistency of estimators for the intensity to a Poisson process marked by a hidden Brownian process | 2014-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5400290 | 2014-02-28 | Paper |
| Postoptimality for mean-risk stochastic mixed-integer programs and its application | 2013-02-20 | Paper |
| Quantitative stability of mixed-integer two-stage quadratic stochastic programs | 2013-02-20 | Paper |
| Review of the development of risk measurement | 2013-01-24 | Paper |
| Dynamic portfolio optimization under multi-factor model in stochastic markets | 2013-01-10 | Paper |
| Tail nonlinearly transformed risk measure and its application | 2013-01-10 | Paper |
| Scenario tree generation approaches using K-means and LP moment matching methods | 2012-08-03 | Paper |
| The existence and determination of equilibrium prices in the asset market with transaction costs under the mean-ES framework | 2012-06-01 | Paper |
| An MAGDM based on constrained FAHP and FTOPSIS and its application to supplier selection | 2012-04-15 | Paper |
| Insurance claims modulated by a hidden Brownian marked point process | 2012-02-10 | Paper |
| A new multiple attribute group decision making method in intuitionistic fuzzy setting | 2011-11-11 | Paper |
| Quantitative stability of full random two-stage multi-objective stochastic programs | 2011-10-21 | Paper |
| Continuity of the optimal value function and optimal solutions of parametric mixed-integer quadratic programs | 2011-09-29 | Paper |
| Chance constrained programming models for intelligent scheduling problems and their efficient solutions | 2011-09-29 | Paper |
| Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures | 2011-01-29 | Paper |
| An expectation maximization algorithm to model failure times by continuous-time Markov chains | 2010-09-30 | Paper |
| Multi-mode classification with application in customer retention | 2010-02-20 | Paper |
| Analysis of customer loss based on artificial immune system | 2009-11-22 | Paper |
| Continuity and Stability of a Quadratic Mixed-Integer Stochastic Program | 2009-08-24 | Paper |
| The new one-sided financial index tracking model based on lower partial moment risk measures and the \(t\)-distribution | 2009-07-22 | Paper |
| Is the MV efficient portfolio really that sensitive to estimation errors? | 2009-05-22 | Paper |
| NEW DEA PERFORMANCE EVALUATION INDICES AND THEIR APPLICATIONS IN THE AMERICAN FUND MARKET | 2008-10-17 | Paper |
| A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION | 2008-05-20 | Paper |
| A new class of coherent risk measures based on p‐norms and their applications | 2007-12-16 | Paper |
| Possibilistic mean-variance models and efficient frontiers for portfolio selection problem | 2007-05-18 | Paper |
| Mutual fund performance evaluation using data envelopment analysis with new risk measures | 2006-10-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3375159 | 2006-03-01 | Paper |
| Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control | 2005-12-14 | Paper |
| Stochastic programming method for multiperiod consumption and investment problems with transactions costs | 2005-11-01 | Paper |
| Optimal consumption and investment problems under GARCH with transaction costs | 2005-06-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4655792 | 2005-03-08 | Paper |
| EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION | 2005-02-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4825752 | 2004-11-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4823623 | 2004-10-28 | Paper |
| Sensitivity to estimation errors in mean-variance models | 2004-09-22 | Paper |
| GLOBAL CONVERGENCE OF A GENERAL SAMPLING ALGORITHM FOR DYNAMIC NONLINEAR STOCHASTIC PROGRAMS | 2003-01-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4803788 | 2003-01-01 | Paper |
| Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling | 2002-12-16 | Paper |
| Theoretical developments on genetic algorithms: a review. | 2002-01-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3836952 | 2000-03-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4718944 | 2000-01-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3836930 | 2000-01-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4264909 | 1999-10-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4265130 | 1999-10-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4265181 | 1999-10-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4391770 | 1998-10-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4368091 | 1998-05-25 | Paper |
| A branch-and-price algorithm for solving the cutting strips problem | 1997-08-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3122982 | 1997-04-24 | Paper |
| A minimizing algorithm for complex nonconvex nondifferentiable functions | 1996-01-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4327148 | 1995-04-27 | Paper |
| A dynamical neural network approach for distributionally robust chance constrained Markov decision process | N/A | Paper |
