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Distributionally robust chance constrained geometric optimization
Liu, Jia; Lisser, Abdel; Chen, Zhiping - In: Mathematics of operations research 47 (2022) 4, pp. 2950-2988
Persistent link: https://www.econbiz.de/10014311394
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A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
Yan, Zhe; Chen, Zhiping; Consigli, Giorgio; Liu, Jia; … - In: Stochastic optimization: theory and applications, (pp. 849-881). 2020
Persistent link: https://www.econbiz.de/10012290846
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Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
Chen, Zhiping; Liu, Jia; Li, Gang; Yan, Zhe - In: Top : transactions in operations research 24 (2016) 3, pp. 515-540
Persistent link: https://www.econbiz.de/10011671484
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Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
Liu, Jia; Chen, Zhiping - In: European journal of operational research : EJOR 268 (2018) 1, pp. 373-385
Persistent link: https://www.econbiz.de/10011813114
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Optimal policy for a time consistent mean-variance model with regime switching
Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234
Persistent link: https://www.econbiz.de/10011567026
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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
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Notoriously hard (mixed-)binary QPs : empirical evidence on new completely positive approaches
Bomze, Immanuel M.; Cheng, Jianqiang; Dickinson, Peter J. C. - In: Computational Management Science : CMS 16 (2019) 4, pp. 593-619
Persistent link: https://www.econbiz.de/10012126680
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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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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