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Consumption and portfolio turnpike theorems in a continuous-time finance model
Jin, Xing - In: Journal of economic dynamics & control 22 (1998) 7, pp. 1001-1026
Persistent link: https://www.econbiz.de/10001243970
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Default prediction based on a locally weighted dynamic ensemble model for imbalanced data
Xing, Jin; Chi, Guotai; Pan, Ancheng - In: The journal of risk model validation 18 (2024) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10014556698
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Default forecasting based on a novel group feature selection method for imbalanced data
Chi, Guotai; Xing, Jin; Pan, Ancheng - In: The journal of credit risk : published quarterly by … 19 (2023) 3, pp. 51-77
Persistent link: https://www.econbiz.de/10014489147
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Efficient simulation budget allocation for selecting an optimal subset
Chen, Chun-hung; He, Donghai; Fu, Michael; Lee, Loo Hay - In: INFORMS journal on computing : JOC 20 (2008) 4, pp. 579-595
Persistent link: https://www.econbiz.de/10003772390
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Temporal aggregation and risk-return relation
Jin, Xing; Wang, Leping; Yu, Jun - In: Finance research letters 4 (2007) 2, pp. 104-115
Persistent link: https://www.econbiz.de/10003477216
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Conditional Monte Carlo estimation of quantile sensitivities
Fu, Michael; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 2019-2027
Persistent link: https://www.econbiz.de/10003928512
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A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Wang, Yongqiang; Fu, Michael; Marcus, Steven I. - In: Operations research 60 (2012) 2, pp. 447-460
Persistent link: https://www.econbiz.de/10009554759
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Sequential selection with unknown correlation structures
Qu, Huashuai; Ryzhov, Ilya O.; Fu, Michael; Ding, Zi - In: Operations research 63 (2015) 4, pp. 931-948
Persistent link: https://www.econbiz.de/10011313170
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On estimating quantile sensitivities via infinitesimal perturbation analysis
Jiang, Guangxin; Fu, Michael - In: Operations research 63 (2015) 2, pp. 435-441
Persistent link: https://www.econbiz.de/10010526698
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Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints
Jin, Xing; Zhang, Kun - In: Journal of banking & finance 37 (2013) 5, pp. 1733-1746
Persistent link: https://www.econbiz.de/10009729466