Narrow search
Showing 1 - 10 of 35
Cover Image
Multi-period risk measures and optimal investment policies
Chen, Zhiping; Consigli, Giorgio; Liu, Jia; Li, Gang; … - In: Optimal financial decision making under uncertainty, (pp. 1-34). 2017
Persistent link: https://www.econbiz.de/10011558439
Cover Image
A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
Yan, Zhe; Chen, Zhiping; Consigli, Giorgio; Liu, Jia; … - In: Stochastic optimization: theory and applications, (pp. 849-881). 2020
Persistent link: https://www.econbiz.de/10012290846
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
New DEA performance evaluation indices and their applications in the American fund market
Lin, Ruiyue; Chen, Zhiping - In: Asia Pacific journal of operational research : APJOR 25 (2008) 4, pp. 421-450
Persistent link: https://www.econbiz.de/10003765940
Cover Image
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
Cover Image
Nonlinearly weighted convex risk measure and its application
Chen, Zhiping; Li Yang - In: Journal of banking & finance 35 (2011) 7, pp. 1777-1793
Persistent link: https://www.econbiz.de/10009247606
Cover Image
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