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~person:"Chen, Zhiping"
~subject:"Theory"
~type_genre:"Aufsatz in Zeitschrift"
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Chen, Zhiping
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ECONIS (ZBW)
15
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1
The cost of delay as risk measure in target-based multi-period portfolio selection models
Liu, Jia
;
Chen, Zhiping
;
Consigli, Giorgio
- In:
IMA journal of management mathematics
35
(
2024
)
3
,
pp. 345-377
Persistent link: https://www.econbiz.de/10014634191
Saved in:
2
Two-sided coherent risk measures and their application in realistic portfolio optimization
Chen, Zhiping
;
Wang, Yi
- In:
Journal of banking & finance
32
(
2008
)
12
,
pp. 2667-2673
Persistent link: https://www.econbiz.de/10003796150
Saved in:
3
Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios
Li Yang
;
Chen, Zhiping
;
Hu, Qianhui
- In:
China finance review international
4
(
2014
)
4
,
pp. 360-384
Persistent link: https://www.econbiz.de/10011339001
Saved in:
4
Time-consistent investment policies in Markovian markets : a case of mean-variance analysis
Chen, Zhiping
;
Li, Gang
;
Zhao, Yonggan
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 293-316
Persistent link: https://www.econbiz.de/10010424358
Saved in:
5
Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control
Chen, Zhiping
- In:
OR spectrum : quantitative approaches in management
27
(
2005
)
4
,
pp. 603-632
Persistent link: https://www.econbiz.de/10003025394
Saved in:
6
Dynamic portfolio optimization under multi-factor model in stochastic markets
Chen, Zhiping
;
Song, Zhenxia
- In:
OR spectrum : quantitative approaches in management
34
(
2012
)
4
,
pp. 885-919
Persistent link: https://www.econbiz.de/10009631523
Saved in:
7
Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Chen, Zhiping
;
Yang, Peng
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 27-46
Persistent link: https://www.econbiz.de/10012242037
Saved in:
8
Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
Chen, Zhiping
;
Liu, Jia
;
Li, Gang
;
Yan, Zhe
- In:
Top : transactions in operations research
24
(
2016
)
3
,
pp. 515-540
Persistent link: https://www.econbiz.de/10011671484
Saved in:
9
Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
Liu, Jia
;
Chen, Zhiping
- In:
European journal of operational research : EJOR
268
(
2018
)
1
,
pp. 373-385
Persistent link: https://www.econbiz.de/10011813114
Saved in:
10
Optimal policy for a time consistent mean-variance model with regime switching
Li, Gang
;
Chen, Zhiping
;
Liu, Jia
- In:
IMA journal of management mathematics
27
(
2016
)
2
,
pp. 211-234
Persistent link: https://www.econbiz.de/10011567026
Saved in:
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