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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

Quantitative stability of mixed-integer two-stage quadratic stochastic programs

Chen, Zhiping; Han, Youpan - In: Mathematical methods of operations research 75 (2012) 2, pp. 149-163

Persistent link: https://www.econbiz.de/10009533448

Postoptimality for mean-risk stochastic mixed-integer programs and its application

Chen, Zhiping; Zhang, Feng; Li Yang - In: Mathematical methods of operations research 74 (2011) 3, pp. 445-465

Persistent link: https://www.econbiz.de/10009405059

Dynamic portfolio optimization under multi-factor model in stochastic markets

Chen, Zhiping; Song, Zhenxia - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 885-919

Persistent link: https://www.econbiz.de/10009631523

Robust optimal reinsurance-investment strategy with price jumps and correlated claims

Chen, Zhiping; Yang, Peng - In: Insurance / Mathematics & economics 92 (2020), pp. 27-46

Persistent link: https://www.econbiz.de/10012242037

Quantitative stability of multistage stochastic programs via calm modifications

Jiang, Jie; Chen, Zhiping - In: Operations research letters 46 (2018) 5, pp. 543-547

Persistent link: https://www.econbiz.de/10011936703

Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching

Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-33

Persistent link: https://www.econbiz.de/10012153045

Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas

Ji, Bingbing; Chen, Zhiping; Consigli, Giorgio; Yan, Zhe - In: Quantitative finance 22 (2022) 9, pp. 1759-1784

Persistent link: https://www.econbiz.de/10013367945

A Bayesian semiparametric realized stochastic volatility model

Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22

This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework offered by Bayesian nonparametric mixtures not only...

Persistent link: https://www.econbiz.de/10012800257

Oscillatory dynamics in a continuous-time delay asset price model with dynamical fundamental price

Xu, Xunxia; Liu, Jia; Guo, Liuxiao; Xu, Zhenyuan - In: Computational economics 45 (2015) 3, pp. 517-529

Persistent link: https://www.econbiz.de/10011415626