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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
Favorite  |  View/Download:18/0  |  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
Favorite  |  View/Download:32/0  |  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
Favorite  |  View/Download:48/0  |  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
Favorite  |  View/Download:55/0  |  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
Favorite  |  View/Download:50/0  |  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
Favorite  |  View/Download:69/0  |  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
Favorite  |  View/Download:66/0  |  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
Favorite  |  View/Download:72/0  |  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
Favorite  |  View/Download:87/0  |  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
Favorite  |  View/Download:86/0  |  Submit date:2018/07/30
Black-Litterman optimization  fuzzy covariance  fuzzy number  portfolio selection