Similar Search Results

Narrow search

Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal

Cui, Xueting; Zhu, Shushang; Sun, Xiaoling; Li, Duan - In: Journal of banking & finance 37 (2013) 6, pp. 2124-2139

Persistent link: https://www.econbiz.de/10009742471

Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach

Zhu, Shushang; Cui, Xueting; Sun, Xiaoling; Li, Duan - In: Journal of risk 14 (2011/12) 2, pp. 51-89

Persistent link: https://www.econbiz.de/10009422361

Portfolio optimization with nonparametric value at risk : a block coordinate descent method

Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; … - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 454-471

Persistent link: https://www.econbiz.de/10011948064

Hedging crash risk in optimal portfolio selection

Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012521210

Systemic risk of optioned portfolio : controllability and optimization

Pang, Xiaochuan; Zhu, Shushang; Cui, Xueting; Ma, Jiali - In: Journal of economic dynamics & control 153 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014479336

Systemic Risk of Optioned Portfolio : Controllability and Optimization

Pang, Xiaochuan; Zhu, Shushang; Cui, Xueting; ma, jiali - 2023

Diversification plays an important role in financial theory and lays the foundation for financial risk management. However, its role is greatly weakened when systemic risk events occur. In this paper, we study portfolio selection against systemic risk from the perspective of individual...

Persistent link: https://www.econbiz.de/10014258315