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Better than dynamic mean-variance : time inconsistency and free cash flow stream
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 346-378
Persistent link: https://www.econbiz.de/10009613192
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A robust set-valued scenario approach for handling modeling risk in portfolio optimization
Zhu, Shushang; Jin, Xiaodong; Li, Duan - In: The journal of computational finance 19 (2015) 1, pp. 11-40
Persistent link: https://www.econbiz.de/10011480704
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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu; Gao, Jianjun; Shi, Yun; Zhu, Shushang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 781-789
Persistent link: https://www.econbiz.de/10012003667
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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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Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
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Portfolio selection with marginal risk control
Zhu, Shushang; Li, Duan; Sun, Xiaoling - In: The journal of computational finance 14 (2010/11) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10008736754
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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
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Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
Li, Yingjie; Zhu, Shushang; Li, Donghui; Li, Duan - In: European journal of operational research : EJOR 228 (2013) 3, pp. 556-570
Persistent link: https://www.econbiz.de/10009758081
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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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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