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A mixed 0-1 LP for index tracking problem with CVaR risk constraints
Wang, Meihua; Xu, Chengxian; Xu, Fengmin; Xue, Hongang - 2012
Persistent link: https://www.econbiz.de/10009582063
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Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua; Xu, Fengmin; Du, Donglei; Meihua, Wang - In: Quantitative finance 21 (2021) 10, pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
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A bi-level programming framework for identifying optimal parameters in portfolio selection
Jing, Kui; Xu, Fengmin; Li, Xuepeng - In: International transactions in operational research : a … 29 (2022) 1, pp. 87-112
Persistent link: https://www.econbiz.de/10012630726
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CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints
Zhao, Zhihua; Wang, Hao; Yang, Xiangyu; Xu, Fengmin - In: Applied economics letters 28 (2021) 3, pp. 201-207
Persistent link: https://www.econbiz.de/10012415134
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A sparse enhanced indexation model with l 1/2 norm and its alternating quadratic penalty method
Zhao, Zhihua; Xu, Fengmin; Wang, Meihua; Zhang, Cheng-yi - In: Journal of the Operational Research Society 70 (2019) 3, pp. 433-445
Persistent link: https://www.econbiz.de/10012212406
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Robust enhanced indexation optimization with sparse industry layout constraint
Allen-Zhao, Zhihua; Xu, Fengmin; Dai, Yu-Hong; Liu, Sanyang - In: Computers & operations research : an international journal 161 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014557812
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Robust enhanced indexation with ESG : an empirical study in the Chinese Stock Market
Li, Xuepeng; Xu, Fengmin; Jing, Kui - In: Economic modelling 107 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013367486
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Group sparse enhanced indexation model with adaptive beta value
Xu, Fengmin; Ma, Jieao; Lu, Haibing - In: Quantitative finance 22 (2022) 10, pp. 1905-1926
Persistent link: https://www.econbiz.de/10013367961
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Dynamic scheduling of e-sports tournaments
Dong, Zhi-Long; Ribeiro, Celso C.; Xu, Fengmin; Zamora, … - In: Transportation research / E : an international journal 169 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10013535842
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New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
Xu, Fengmin; Li, Xuepeng; Dai, Yu-Hong; Meihua, Wang - In: International transactions in operational research : a … 30 (2023) 5, pp. 2640-2664
Persistent link: https://www.econbiz.de/10014261199