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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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Multi-period portfolio selection with investor views based on scenario tree
期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2022, 卷号: 418, 页码: 14
Authors:
Zhao, Daping
;
Bai, Lin
;
Fang, Yong
;
Wang, Shouyang
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View/Download:85/0
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Submit date:2022/06/21
Portfolio selection
Multi-period
Investor views
Scenario tree
Optimization
Asset selection based on high frequency Sharpe ratio
期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
Authors:
Wang, Christina Dan
;
Chen, Zhao
;
Lian, Yimin
;
Chen, Min
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View/Download:111/0
  |  
Submit date:2022/04/29
Asset selection
High frequency Sharpe ratio
Ultrahigh dimensional
Serial correlation
Sure screening property
Fast algorithms for sparse portfolio selection considering industries and investment styles
期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2020, 页码: 27
Authors:
Dong, Zhi-Long
;
Xu, Fengmin
;
Dai, Yu-Hong
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View/Download:108/0
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Submit date:2020/06/30
Portfolio selection
Industry classification
Style investment
ADMM
Sparse optimization
Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2020, 卷号: 65, 期号: 4, 页码: 1716-1723
Authors:
Ni, Yuan-Hua
;
Li, Xun
;
Zhang, Ji-Feng
;
Krstic, Miroslav
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View/Download:111/0
  |  
Submit date:2020/05/24
Portfolios
Optimal control
Nickel
Covariance matrices
Optimization
Indexes
Multiperiod mean-variance portfolio selection
stochastic linear-quadratic (LQ) control
time inconsistency
Portfolio Selection Based on Bayesian Theory
期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2019, 卷号: 2019, 页码: 11
Authors:
Zhao, Daping
;
Fang, Yong
;
Zhang, Chaoliang
;
Wang, Zongrun
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View/Download:87/0
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Submit date:2020/05/24
Artificial Bee Colony Algorithm Based on Novel Mechanism for Fuzzy Portfolio Selection
期刊论文
IEEE TRANSACTIONS ON FUZZY SYSTEMS, 2019, 卷号: 27, 期号: 5, 页码: 966-978
Authors:
Gao, Weifeng
;
Sheng, Hailong
;
Wang, Jue
;
Wang, Shouyang
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View/Download:136/0
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Submit date:2020/01/10
Artificial bee colony algorithm (ABC)
direction learning
elite learning
fuzzy portfolio selection
search direction
step size
A prospect theory-based group decision approach considering consensus for portfolio selection with hesitant fuzzy information
期刊论文
KNOWLEDGE-BASED SYSTEMS, 2019, 卷号: 168, 页码: 28-38
Authors:
Zhou, Xiaoyang
;
Wang, Liqin
;
Liao, Huchang
;
Wang, Shouyang
;
Lev, Benjamin
;
Fujita, Hamido
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View/Download:111/0
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Submit date:2019/12/13
Portfolio selection
Group decision making
Prospect theory
Consensus process
Portfolio selection under uncertainty by the ordered modular average operator
期刊论文
FUZZY OPTIMIZATION AND DECISION MAKING, 2019, 卷号: 18, 期号: 1, 页码: 1-14
Authors:
Li, Hong-Quan
;
Yi, Zhi-Hong
;
Fang, Yong
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View/Download:125/0
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Submit date:2019/04/02
Aggregation operator
Portfolio selection
The mean-variance model
The ordered modular averages
The ordered weighted averages
Portfolio selection under different attitudes in fuzzy environment
期刊论文
INFORMATION SCIENCES, 2018, 卷号: 462, 页码: 278-289
Authors:
Zhou, Xiaoyang
;
Wang, Jue
;
Yang, Xiangping
;
Lev, Benjamin
;
Tu, Yan
;
Wang, Shouyang
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View/Download:145/0
  |  
Submit date:2018/10/07
Portfolio selection
Conservative-neutral-aggressive attitude
Fuzzy variable
Value at risk, epsilon-constraint method
Fuzzy Views on Black-Litterman Portfolio Selection Model
期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2018, 卷号: 31, 期号: 4, 页码: 975-987
Authors:
Fang, Yong
;
Bo, Lin
;
Zhao, Daping
;
Wang, Shouyang
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View/Download:126/0
  |  
Submit date:2018/07/30
Black-Litterman optimization
fuzzy covariance
fuzzy number
portfolio selection