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A mixed 0-1 LP for index tracking problem with CVaR risk constraints
Wang, Meihua
;
Xu, Chengxian
;
Xu, Fengmin
;
Xue, Hongang
-
2012
Persistent link: https://www.econbiz.de/10009582063
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2
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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3
A bi-level programming framework for identifying optimal parameters in portfolio selection
Jing, Kui
;
Xu, Fengmin
;
Li, Xuepeng
- In:
International transactions in operational research : a …
29
(
2022
)
1
,
pp. 87-112
Persistent link: https://www.econbiz.de/10012630726
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4
CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints
Zhao, Zhihua
;
Wang, Hao
;
Yang, Xiangyu
;
Xu, Fengmin
- In:
Applied economics letters
28
(
2021
)
3
,
pp. 201-207
Persistent link: https://www.econbiz.de/10012415134
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5
A sparse enhanced indexation model with l 1/2 norm and its alternating quadratic penalty method
Zhao, Zhihua
;
Xu, Fengmin
;
Wang, Meihua
;
Zhang, Cheng-yi
- In:
Journal of the Operational Research Society
70
(
2019
)
3
,
pp. 433-445
Persistent link: https://www.econbiz.de/10012212406
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Robust enhanced indexation optimization with sparse industry layout constraint
Allen-Zhao, Zhihua
;
Xu, Fengmin
;
Dai, Yu-Hong
;
Liu, Sanyang
- In:
Computers & operations research : an international journal
161
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014557812
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Robust enhanced indexation with ESG : an empirical study in the Chinese Stock Market
Li, Xuepeng
;
Xu, Fengmin
;
Jing, Kui
- In:
Economic modelling
107
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013367486
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Group sparse enhanced indexation model with adaptive beta value
Xu, Fengmin
;
Ma, Jieao
;
Lu, Haibing
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1905-1926
Persistent link: https://www.econbiz.de/10013367961
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9
Dynamic scheduling of e-sports tournaments
Dong, Zhi-Long
;
Ribeiro, Celso C.
;
Xu, Fengmin
;
Zamora, …
- In:
Transportation research / E : an international journal
169
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013535842
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10
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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