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Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo; Li, Yong; Yao, Haixiang - In: Journal of economic dynamics & control 92 (2018), pp. 103-128
Persistent link: https://www.econbiz.de/10011974395
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A general approach to smooth and convex portfolio optimization using lower partial moments
Yao, Haixiang; Huang, Jinbo; Li, Yong; Humphrey, … - In: Journal of banking & finance 129 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012822108
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Nonparametric mean-lower partial moment model and enhanced index investment
Huang, Jinbo; Li, Yong; Yao, Haixiang - In: Computers & operations research : and their … 144 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013264891
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The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang; Li, Zhongfei; Li, Duan - In: European journal of operational research : EJOR 252 (2016) 3, pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
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Portfolio selection with conservative short-selling
Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Finance research letters 18 (2016), pp. 363-369
Persistent link: https://www.econbiz.de/10011657303
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Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang - In: Operations research letters 44 (2016) 4, pp. 540-543
Persistent link: https://www.econbiz.de/10011535445
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Sparse and robust portfolio selection via semi-definite relaxation
Lee, Yongjae; Kim, Min Jeong; Kim, Jang Ho; Jang, Ju Ri; … - In: Journal of the Operational Research Society 71 (2020) 5, pp. 687-699
Persistent link: https://www.econbiz.de/10012216744
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Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-33
Persistent link: https://www.econbiz.de/10012153045
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Optimal investment management for a defined contribution pension fund under imperfect information
Zhang, Ling; Zhang, Hao; Yao, Haixiang - In: Insurance / Mathematics & economics 79 (2018), pp. 210-224
Persistent link: https://www.econbiz.de/10011825476