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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
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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
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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
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New variants of finite criss-cross pivot algorithms for linear programming
Zhang, Shuzhong - 1997
Persistent link: https://www.econbiz.de/10000964988
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New variants of finite criss-cross pivot algorithm for linear programming
Zhang, Shuzhong - 1997
Persistent link: https://www.econbiz.de/10000988123
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An interior-point and decomposition approach to multiple stage stochastic programming
Zhang, Shuzhong (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001701889
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On the strictly complementary slackness relation in linear programming
Zhang, Shuzhong - 1994
Persistent link: https://www.econbiz.de/10000122429
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A dual and interior point approach to solve convex min-max problems
Sturm, Jos F. - 1995
Persistent link: https://www.econbiz.de/10000904880
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On a wide region of centers and primal-dual interior point algorithms for linear programming
Sturm, Jos F.; Zhang, Shuzhong - 1995
Persistent link: https://www.econbiz.de/10000913127
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Duality and self-duality for conic convex programming
Luo, Zhi-Quan; Sturm, Jos F.; Zhang, Shuzhong - 1996
Persistent link: https://www.econbiz.de/10000932249