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Quantitative statistical robustness for tail-dependent law invariant risk measures
Wang, Wei; Xu, Huifu; Ma, Tiejun - In: Quantitative finance 21 (2021) 10, pp. 1669-1685
Persistent link: https://www.econbiz.de/10012653706
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Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
Wang, Wei; Xu, Huifu; Ma, Tiejun - In: European journal of operational research : EJOR 306 (2023) 1, pp. 322-347
Persistent link: https://www.econbiz.de/10014278005
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Optimal asset allocation using a combination of implied and historical information
Cheang, Chi Wan; Olmo, Jose; Ma, Tiejun; Sung, Ming-chien; … - In: International review of financial analysis 67 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012299166
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Are the least successful traders those most likely to exit the market? : a survival analysis contribution to the efficient market debate
Ma, Tiejun; Fraser-Mackenzie, Peter A. F.; Sung, Ming-chien - In: European journal of operational research : EJOR 299 (2022) 1, pp. 330-345
Persistent link: https://www.econbiz.de/10013206989
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Data-driven mixed-Integer linear programming-based optimisation for efficient failure detection in large-scale distributed systems
Er-Rahmadi, Btissam; Ma, Tiejun - In: European journal of operational research : EJOR 303 (2022) 1, pp. 337-353
Persistent link: https://www.econbiz.de/10013363918
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Convergence analysis for distributionally robust optimization and equilibrium problems
Sun, Hailin; Xu, Huifu - In: Mathematics of operations research 41 (2016) 2, pp. 377-401
Persistent link: https://www.econbiz.de/10011520425
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Discrete approximation and quantification in distributionally robust optimization
Liu, Yongchao; Pichler, Alois; Xu, Huifu - In: Mathematics of operations research 44 (2019) 1, pp. 19-37
Persistent link: https://www.econbiz.de/10012001051
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A distributionally robust optimization approach for two-stage facility location problems
Gourtani, Arash; Tri-Dung Nguyen; Xu, Huifu - In: EURO journal on computational optimization 8 (2020) 2, pp. 141-172
Persistent link: https://www.econbiz.de/10012240032
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Single and multi-period optimal inventory control models with risk-averse constraints
Zhang, Dali; Xu, Huifu; Wu, Yue - In: European journal of operational research : EJOR 199 (2009) 2, pp. 420-434
Persistent link: https://www.econbiz.de/10003867267
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A two stage stochastic equilibrium model for electricity markets with two way contracts
Zhang, Dali; Xu, Huifu; Wu, Yue - In: Mathematical methods of operations research 71 (2010) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10003958337