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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 consistency and time consistent generalized convex multistage risk measures
Li Yang; Chen, Zhiping; Zhang, Feng - In: IMA journal of management mathematics 27 (2016) 3, pp. 419-437
Persistent link: https://www.econbiz.de/10011593272
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Stochastic geometric optimization with joint probabilistic constraints
Liu, Jia; Lisser, Abdel; Chen, Zhiping - In: Operations research letters 44 (2016) 5, pp. 687-691
Persistent link: https://www.econbiz.de/10011596645
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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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Quantitative stability of multistage stochastic programs via calm modifications
Jiang, Jie; Chen, Zhiping - In: Operations research letters 46 (2018) 5, pp. 543-547
Persistent link: https://www.econbiz.de/10011936703
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Portfolio selection through Maslow's need hierarchy theory
Li, Zongxin; Chen, Zhiping; Hui, Yongchang - In: Applied economics 51 (2019) 4, pp. 364-372
Persistent link: https://www.econbiz.de/10012160546
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Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-33
Persistent link: https://www.econbiz.de/10012153045
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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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Optimal investment policy in the time consistent mean-variance formulation
Chen, Zhiping; Li, Gang; Guo, Ju'e - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 145-156
Persistent link: https://www.econbiz.de/10009736120