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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
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Tail nonlinearly transformed risk measure and its application
Chen, Zhiping; Li Yang; Xu, Daobao; Hu, Qianhui - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 817-860
Persistent link: https://www.econbiz.de/10009631526
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Time consistency and time consistent generalized convex multistage risk measures
Li Yang; Chen, Zhiping; Zhang, Feng - In: IMA journal of management mathematics 27 (2016) 3, pp. 419-437
Persistent link: https://www.econbiz.de/10011593272
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Distributionally robust optimization based on kernel density estimation and mean-entropic value-at-risk
Liu, Wei; Li, Yang; Yu, Bo - In: INFORMS journal on optimization 5 (2023) 1, pp. 68-91
Persistent link: https://www.econbiz.de/10014292039