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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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Insurance claims modulated by a hidden Brownian marked point process
Elliott, Robert J.; Chen, Zhiping; Duan, Qihong - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 163-172
Persistent link: https://www.econbiz.de/10009517585
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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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Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework
Yang, Peng; Chen, Zhiping; Cui, Xiangyu - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 969-997
Persistent link: https://www.econbiz.de/10012696897
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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
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Tail nonlinearly transformed risk measure and its application
Chen, Zhiping; Li Yang; Xu, Daobao; Hu, Qianhui - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 817-860
Persistent link: https://www.econbiz.de/10009631526
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A mental account-based portfolio selection model with an application for data with smaller dimensions
Li, Zongxin; Jiang, Hong; Chen, Zhiping; Wong, Wing Keung - In: Computers & operations research : and their … 144 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013264834
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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
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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