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Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua; Xu, Fengmin; Du, Donglei; Meihua, Wang - In: Quantitative finance 21 (2021) 10, pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
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New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
Xu, Fengmin; Li, Xuepeng; Dai, Yu-Hong; Meihua, Wang - In: International transactions in operational research : a … 30 (2023) 5, pp. 2640-2664
Persistent link: https://www.econbiz.de/10014261199
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Intelligent option portfolio model with perspective of shadow price and risk-free profit
Xu, Fengmin; Ma, Jieao - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28
Since Markowitz proposed modern portfolio theory, portfolio optimization has been being a classic topic in financial engineering. Although it is generally accepted that options help to improve the market, there is still an improvement for the portrayal of their unique properties in portfolio...
Persistent link: https://www.econbiz.de/10014289096
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Corporate Preferences for Domestic Policy Instruments under a Sectoral Market Mechanism: A Case Study of Shanxi Province in China
Gao, Shuai; Cai, Wenjia; Liu, Wenling; Wang, Can; … - 2014
Understanding companies' preferences for various domestic policy instruments is crucial to designing and planning Sectoral Market Mechanism (SMM) in China. Based on a detailed overview of domestic policy instruments under SMM, this paper evaluates corporate preferences for diverse domestic...
Persistent link: https://www.econbiz.de/10010491233
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Corporate preferences for domestic policy instruments under a sectoral market mechanism : a case study of Shanxi province in China
Gao, Shuai; Cai, Wenjia; Liu, Wenling; Wang, Can; … - 2014
Understanding companies' preferences for various domestic policy instruments is crucial to designing and planning Sectoral Market Mechanism (SMM) in China. Based on a detailed overview of domestic policy instruments under SMM, this paper evaluates corporate preferences for diverse domestic...
Persistent link: https://www.econbiz.de/10010419796
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Corporate Preferences for Domestic Policy Instruments Under a Sectoral Market Mechanism : A Case Study of Shanxi Province in China
Gao, Shuai - 2014
Understanding companies' preferences for various domestic policy instruments is crucial to designing and planning Sectoral Market Mechanism (SMM) in China. Based on a detailed overview of domestic policy instruments under SMM, this paper evaluates corporate preferences for diverse domestic...
Persistent link: https://www.econbiz.de/10013044890
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Corporate Preferences for Domestic Policy Instruments under a Sectoral Market Mechanism: A Case Study of Shanxi Province in China
Zhang, ZhongXiang; Gao, Shuai; Cai, Wenjia; Liu, Wenling; … - Crawford School of Public Policy, Australian National … - 2014
Understanding companies' preferences for various domestic policy instruments is crucial to designing and planning Sectoral Market Mechanism (SMM) in China. Based on a detailed overview of domestic policy instruments under SMM, this paper evaluates corporate preferences for diverse domestic...
Persistent link: https://www.econbiz.de/10010886817
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Corporate Preferences for Domestic Policy Instruments Under a Sectoral Market Mechanism : A Case Study of Shanxi Province in China
Gao, Shuai; Cai, Wenjia; Liu, Wenling; Wang, Can; … - 2016
Understanding companies’ preferences for various domestic policy instruments is crucial to designing and planning Sectoral Market Mechanism (SMM) in China. Based on a detailed overview of domestic policy instruments under SMM, this paper evaluates corporate preferences for diverse domestic...
Persistent link: https://www.econbiz.de/10014129338
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Corporate Preferences for Domestic Policy Instruments under a Sectoral Market Mechanism: A Case Study of Shanxi Province in China
Gao, Shuai; Cai, Wenjia; Liu, Wenling; Wang, Can; … - Fondazione ENI Enrico Mattei (FEEM) - 2014
Understanding companies’ preferences for various domestic policy instruments is crucial to designing and planning Sectoral Market Mechanism (SMM) in China. Based on a detailed overview of domestic policy instruments under SMM, this paper evaluates corporate preferences for diverse domestic...
Persistent link: https://www.econbiz.de/10011162047
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Efficient Projected Gradient Methods for L 0 Constrained Optimization
Xu, FengMin; Dai, Yu-Hong; Zhao, Zhi-Hua; Xu, Zongben - 2021
Sparse optimization has attracted increasing attention in numerous areas such as compressed sensing, financial optimization and image processing. In this paper, we first consider a special class of l0 constrained optimization problems, which involves box constraints and a singly linear...
Persistent link: https://www.econbiz.de/10013239809