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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
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Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control
Chen, Zhiping - In: OR spectrum : quantitative approaches in management 27 (2005) 4, pp. 603-632
Persistent link: https://www.econbiz.de/10003025394
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Mutual fund performance evaluation using data envelopment analysis with new risk measures
Chen, Zhiping; Lin, Ruiyue - In: OR spectrum : quantitative approaches in management 28 (2006) 3, pp. 375-398
Persistent link: https://www.econbiz.de/10003343640
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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
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Super-efficiency measurement under variable return to scale : an approach based on a new directional distance function
Lin, Ruiyue; Chen, Zhiping - In: Journal of the Operational Research Society : OR 66 (2015) 9, pp. 1506-1510
Persistent link: https://www.econbiz.de/10011417463
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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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Time-consistent investment policies in Markovian markets : a case of mean-variance analysis
Chen, Zhiping; Li, Gang; Zhao, Yonggan - In: Journal of economic dynamics & control 40 (2014), pp. 293-316
Persistent link: https://www.econbiz.de/10010424358
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New models of trader beliefs and their application for explaining financial bubbles
Chen, Zhiping; Duan, Qihong - In: Economic modelling 28 (2011) 5, pp. 2215-2227
Persistent link: https://www.econbiz.de/10009273484
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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
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Optimal consumption and investment problems under GARCH with transaction costs
Chen, Zhiping; Yuen, K. C. - In: Mathematical methods of operations research 61 (2005) 2, pp. 219-237
Persistent link: https://www.econbiz.de/10002858605