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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

Dynamic network DEA approach with diversification to multi-period performance evaluation of funds

Lin, Ruiyue; Chen, Zhiping; Hu, Qianhui; Li, Zongxin - In: OR spectrum : quantitative approaches in management 39 (2017) 3, pp. 821-860

Persistent link: https://www.econbiz.de/10011707238

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

Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas

Ji, Bingbing; Chen, Zhiping; Consigli, Giorgio; Yan, Zhe - In: Quantitative finance 22 (2022) 9, pp. 1759-1784

Persistent link: https://www.econbiz.de/10013367945

Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework

Yang, Peng; Chen, Zhiping - In: IMA journal of management mathematics 34 (2023) 4, pp. 661-694

Persistent link: https://www.econbiz.de/10014389017

Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity

Wang, Tao; Chen, Zhiping - In: Insurance : mathematics and economics 118 (2024), pp. 195-222

Persistent link: https://www.econbiz.de/10015067067

Automation of the individualized investing strategy for an investment advisor established by a semi-Markov regime-switching model

Liu, Junrong; Chen, Zhiping; Duan, Qihong - In: Computational economics 63 (2024) 6, pp. 2351-2370

Persistent link: https://www.econbiz.de/10014636746

Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices

Liu, Jia - In: Journal of risk 24 (2021) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10012816791

A Bayesian semiparametric realized stochastic volatility model

Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22

This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework offered by Bayesian nonparametric mixtures not only...

Persistent link: https://www.econbiz.de/10012800257

A SETAR model for Canadian GDP : non-linearities and forecast comparisons

Feng, Hui; Liu, Jia - In: Applied economics 35 (2003) 18, pp. 1957-1964

Persistent link: https://www.econbiz.de/10001863393