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Dividend optimization for jump-diffusion model with solvency constraints 期刊论文
OPERATIONS RESEARCH LETTERS, 2020, 卷号: 48, 期号: 2, 页码: 170-175
作者:  Li, Yongwu;  Li, Zhongfei;  Wang, Shouyang;  Xu, Zuo Quan
收藏  |  浏览/下载：174/0  |  提交时间：2020/06/30
Dividend payment  Jump-diffusion  Solvency constraints  Barrier strategy  Partial integro-differential equation  
Evolutionary support vector machine for RMB exchange rate forecasting 期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 卷号: 521, 页码: 692-704
作者:  Fu, Sibao;  Li, Yongwu;  Sun, Shaolong;  Li, Hongtao
收藏  |  浏览/下载：217/0  |  提交时间：2020/01/10
Exchange rate forecasting  Evolutionary support vector regression  Particle swarm optimization  Genetic algorithm  Phase space reconstruction  
Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean-Variance Criterion 期刊论文
IEEE SYSTEMS JOURNAL, 2017, 卷号: 11, 期号: 3, 页码: 1492-1504
作者:  Li, Yongwu;  Wang, Shouyang;  Zeng, Yan;  Qiao, Han
收藏  |  浏览/下载：156/0  |  提交时间：2018/07/30
Dynamic equilibrium  dynamic programming  Kalman filters  optimal control  portfolios  
Multi-period mean variance portfolio selection under incomplete information 期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2016, 卷号: 32, 期号: 6, 页码: 753-774
作者:  Zhang, Ling;  Li, Zhongfei;  Xu, Yunhui;  Li, Yongwu
收藏  |  浏览/下载：152/0  |  提交时间：2018/07/30
hidden Markov chain  regime switching  sufficient statistics  portfolio optimization  
A novel hybrid decomposition-and-ensemble model based on CEEMD and GWO for short-term PM2.5 concentration forecasting 期刊论文
ATMOSPHERIC ENVIRONMENT, 2016, 卷号: 134, 页码: 168-180
作者:  Niu, Mingfei;  Wang, Yufang;  Sun, Shaolong;  Li, Yongwu
收藏  |  浏览/下载：151/0  |  提交时间：2018/07/30
Complementary ensemble empirical mode decomposition  Grey wolf optimizer  Support vector regression  Hybrid decomposition-ensemble model  PM2.5 concentration forecasting  
Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model 期刊论文
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2016, 卷号: 168, 期号: 2, 页码: 699-722
作者:  Li, Yongwu;  Li, Zhongfei;  Zeng, Yan
收藏  |  浏览/下载：148/0  |  提交时间：2018/07/30
Non-exponential discount function  Equilibrium strategy  Dividend payment  Dual model  Hamilton-Jacobi-Bellman equation  
Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model 期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2016, 页码: 18
作者:  Sun, Jingyun;  Li, Zhongfei;  Li, Yongwu
收藏  |  浏览/下载：125/0  |  提交时间：2018/07/30
Time-consistent investment strategy under partial information 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2015, 卷号: 65, 页码: 187-197
作者:  Li, Yongwu;  Qiao, Han;  Wang, Shouyang;  Zhang, Ling
收藏  |  浏览/下载：135/0  |  提交时间：2018/07/30
Time inconsistency  Mean-variance  Partial information  Equilibrium strategy  Extended HJB system of equations