| Publication | Date of Publication | Type |
|---|
The cost of delay as risk measure in target-based multi-period portfolio selection models
IMA Journal of Management Mathematics | 2024-11-13 | Paper |
Optimal reinsurance contract and investment strategy for multiple competitive-cooperative insurers and a reinsurer
IMA Journal of Management Mathematics | 2024-11-13 | Paper |
Multi-stage distributionally robust convex stochastic optimization with Bayesian-type ambiguity sets
Mathematical Methods of Operations Research | 2024-10-30 | Paper |
A Bayesian approach to data-driven multi-stage stochastic optimization
Journal of Global Optimization | 2024-10-14 | Paper |
Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity
Insurance Mathematics & Economics | 2024-09-18 | Paper |
Discrete approximation and convergence analysis for a class of decision-dependent two-stage stochastic linear programs
Journal of the Operations Research Society of China | 2024-09-11 | Paper |
Optimal time-consistent social health insurance and private health insurance strategy under a new health insurance framework
Applied Stochastic Models in Business and Industry | 2024-07-29 | Paper |
Concentrated portfolio selection models based on historical data
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
Applied Stochastic Models in Business and Industry | 2024-07-10 | Paper |
Actor-critic reinforcement learning algorithms for mean field games in continuous time, state and action spaces
Applied Mathematics and Optimization | 2024-07-01 | Paper |
A dynamical neural network approach for distributionally robust chance-constrained Markov decision process
Science China. Mathematics | 2024-07-01 | Paper |
Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework
IMA Journal of Management Mathematics | 2024-02-23 | Paper |
A DEA‐based method of allocating the fixed cost as a complement to the original input
International Transactions in Operational Research | 2023-11-17 | Paper |
Regularized methods for a two-stage robust production planning problem and its sample average approximation
Journal of the Operations Research Society of China | 2023-09-12 | Paper |
Equilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk tolerance
Communications in Statistics: Theory and Methods | 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
RAIRO - Operations Research | 2023-05-26 | Paper |
Modified super-efficiency DEA models for solving infeasibility under non-negative data set
INFOR: Information Systems and Operational Research | 2023-03-15 | Paper |
Distributionally Robust Chance Constrained Geometric Optimization
Mathematics of Operations Research | 2023-01-09 | Paper |
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
Quantitative Finance | 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
Journal of Global Optimization | 2022-06-29 | Paper |
A mental account-based portfolio selection model with an application for data with smaller dimensions
Computers & Operations Research | 2022-06-22 | Paper |
Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
SIAM Journal on Optimization | 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
Communications in Statistics: Theory and Methods | 2022-05-30 | Paper |
Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
Scandinavian Actuarial Journal | 2022-03-02 | Paper |
Interval-based stochastic dominance: theoretical framework and application to portfolio choices
Annals of Operations Research | 2022-01-24 | Paper |
Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties
Journal of the Operations Research Society of China | 2021-12-13 | Paper |
Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse
Asia-Pacific Journal of Operational Research | 2021-11-30 | Paper |
Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
Journal of Industrial and Management Optimization | 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
Journal of Industrial and Management Optimization | 2021-09-10 | Paper |
Performance ratio-based coherent risk measure and its application
Quantitative Finance | 2021-07-16 | Paper |
A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
Annals of Operations Research | 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
Journal of Global Optimization | 2020-08-07 | Paper |
Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Rectangular chance constrained geometric optimization
Optimization and Engineering | 2020-07-14 | Paper |
Quantitative stability of fully random two-stage stochastic programs with mixed-integer recourse
Optimization Letters | 2020-06-24 | Paper |
Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
Journal of Computational and Applied Mathematics | 2020-03-23 | Paper |
Quantitative stability of multistage stochastic programs via calm modifications
Operations Research Letters | 2020-02-10 | Paper |
Fixed input allocation methods based on super CCR efficiency invariance and practical feasibility
Applied Mathematical Modelling | 2020-01-29 | Paper |
Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
International Journal of Theoretical and Applied Finance | 2019-11-08 | Paper |
Quantitative stability analysis of two-stage stochastic linear programs with full random recourse
Numerical Functional Analysis and Optimization | 2019-10-28 | Paper |
Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
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
Applied Mathematics and Optimization | 2019-06-19 | Paper |
Time consistency and time consistent generalized convex multistage risk measures
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Optimal policy for a time consistent mean-variance model with regime switching
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
Applied Stochastic Models in Business and Industry | 2019-03-07 | Paper |
Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
Discrete Dynamics in Nature and Society | 2019-02-20 | Paper |
Stochastic geometric optimization with joint probabilistic constraints
Operations Research Letters | 2019-01-11 | Paper |
Data-driven robust chance constrained problems: a mixture model approach
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
Recursive risk measures under regime switching applied to portfolio selection
Quantitative Finance | 2018-11-19 | Paper |
Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
On coherent risk measures induced by convex risk measures
Methodology and Computing in Applied Probability | 2018-08-14 | Paper |
Time consistent multi-period worst-case risk measure in robust portfolio selection
Journal of the Operations Research Society of China | 2018-08-10 | Paper |
Limit and shakedown analysis under hydrogen embrittlement condition
Meccanica | 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
European Journal of Operational Research | 2018-05-30 | Paper |
Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
SIAM Journal on Optimization | 2018-05-18 | Paper |
Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
OR Spectrum | 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
International Journal of Structural Stability and Dynamics | 2017-04-07 | Paper |
Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
Top | 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
European Journal of Mechanics. A. Solids | 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
Optimization | 2016-05-23 | Paper |
Lipschitz continuity of the optimal value function and KKT solution set in indefinite quadratic programs
Applied Mathematics. Series B (English Edition) | 2016-01-15 | Paper |
Quantitative stability of full random two-stage stochastic programs with recourse
Optimization Letters | 2015-09-24 | Paper |
A new approach for allocating fixed costs among decision making units
Journal of Industrial and Management Optimization | 2015-07-31 | Paper |
Time consistent policy of multi-period mean-variance
Journal of Industrial and Management Optimization | 2015-07-31 | Paper |
Continuity and stability of two-stage stochastic programs with quadratic continuous recourse
Numerical Algebra, Control and Optimization | 2015-07-14 | Paper |
scientific article; zbMATH DE number 6401405 (Why is no real title available?)
| 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
Optimization Letters | 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
Insurance Mathematics & Economics | 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 |
scientific article; zbMATH DE number 6264081 (Why is no real title available?)
| 2014-02-28 | Paper |
Postoptimality for mean-risk stochastic mixed-integer programs and its application
Mathematical Methods of Operations Research | 2013-02-20 | Paper |
Quantitative stability of mixed-integer two-stage quadratic stochastic programs
Mathematical Methods of Operations Research | 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
OR Spectrum | 2013-01-10 | Paper |
Tail nonlinearly transformed risk measure and its application
OR Spectrum | 2013-01-10 | Paper |
Scenario tree generation approaches using K-means and LP moment matching methods
Journal of Computational and Applied Mathematics | 2012-08-03 | Paper |
The existence and determination of equilibrium prices in the asset market with transaction costs under the mean-ES framework
Journal of Systems Science and Mathematical Sciences | 2012-06-01 | Paper |
An MAGDM based on constrained FAHP and FTOPSIS and its application to supplier selection
Mathematical and Computer Modelling | 2012-04-15 | Paper |
Insurance claims modulated by a hidden Brownian marked point process
Insurance Mathematics & Economics | 2012-02-10 | Paper |
A new multiple attribute group decision making method in intuitionistic fuzzy setting
Applied Mathematical Modelling | 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
Applied Mathematics. Series B (English Edition) | 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
Applied Mathematics. Series B (English Edition) | 2011-01-29 | Paper |
An expectation maximization algorithm to model failure times by continuous-time Markov chains
Mathematical Problems in Engineering | 2010-09-30 | Paper |
Multi-mode classification with application in customer retention
Journal of Computer Applications | 2010-02-20 | Paper |
Analysis of customer loss based on artificial immune system
Journal of Computer Applications | 2009-11-22 | Paper |
Continuity and Stability of a Quadratic Mixed-Integer Stochastic Program
Numerical Functional Analysis and Optimization | 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
Asia-Pacific Journal of Operational Research | 2008-10-17 | Paper |
A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
Asia-Pacific Journal of Operational Research | 2008-05-20 | Paper |
A new class of coherent risk measures based on p‐norms and their applications
Applied Stochastic Models in Business and Industry | 2007-12-16 | Paper |
Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
Information Sciences | 2007-05-18 | Paper |
Mutual fund performance evaluation using data envelopment analysis with new risk measures
OR Spectrum | 2006-10-04 | Paper |
scientific article; zbMATH DE number 5009399 (Why is no real title available?)
| 2006-03-01 | Paper |
Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control
OR Spectrum | 2005-12-14 | Paper |
Stochastic programming method for multiperiod consumption and investment problems with transactions costs
Journal of Systems Science and Complexity | 2005-11-01 | Paper |
Optimal consumption and investment problems under GARCH with transaction costs
Mathematical Methods of Operations Research | 2005-06-16 | Paper |
scientific article; zbMATH DE number 2142553 (Why is no real title available?)
| 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
Asia-Pacific Journal of Operational Research | 2005-02-18 | Paper |
scientific article; zbMATH DE number 2114009 (Why is no real title available?)
| 2004-11-05 | Paper |
scientific article; zbMATH DE number 2112164 (Why is no real title available?)
| 2004-10-28 | Paper |
Sensitivity to estimation errors in mean-variance models
Acta Mathematicae Applicatae Sinica. English Series | 2004-09-22 | Paper |
GLOBAL CONVERGENCE OF A GENERAL SAMPLING ALGORITHM FOR DYNAMIC NONLINEAR STOCHASTIC PROGRAMS
Numerical Functional Analysis and Optimization | 2003-01-08 | Paper |
scientific article; zbMATH DE number 1895630 (Why is no real title available?)
| 2003-01-01 | Paper |
Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling
Applied Mathematics. Series B (English Edition) | 2002-12-16 | Paper |
Theoretical developments on genetic algorithms: a review.
Advances in Mathematics (Beijing) | 2002-01-29 | Paper |
scientific article; zbMATH DE number 1382324 (Why is no real title available?)
| 2000-03-05 | Paper |
scientific article; zbMATH DE number 1383085 (Why is no real title available?)
| 2000-01-04 | Paper |
scientific article; zbMATH DE number 1382305 (Why is no real title available?)
| 2000-01-03 | Paper |
scientific article; zbMATH DE number 1348907 (Why is no real title available?)
| 1999-10-07 | Paper |
scientific article; zbMATH DE number 1349103 (Why is no real title available?)
| 1999-10-07 | Paper |
scientific article; zbMATH DE number 1349149 (Why is no real title available?)
| 1999-10-07 | Paper |
scientific article; zbMATH DE number 1159349 (Why is no real title available?)
| 1998-10-28 | Paper |
scientific article; zbMATH DE number 1094069 (Why is no real title available?)
| 1998-05-25 | Paper |
A branch-and-price algorithm for solving the cutting strips problem
Applied Mathematics. Series B (English Edition) | 1997-08-28 | Paper |
scientific article; zbMATH DE number 987422 (Why is no real title available?)
| 1997-04-24 | Paper |
A minimizing algorithm for complex nonconvex nondifferentiable functions
Applied Mathematics. Series B (English Edition) | 1996-01-15 | Paper |
scientific article; zbMATH DE number 740448 (Why is no real title available?)
| 1995-04-27 | Paper |
A dynamical neural network approach for distributionally robust chance constrained Markov decision process
| N/A | Paper |
