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Multi-objective approaches to portfolio optimization with market impact costs 期刊论文
MEMETIC COMPUTING, 2022, 页码: 11
Authors:  Wang, Hongze;  Li, Xuerong;  Hong, Wenjing;  Tang, Ke
Favorite  |  View/Download：22/0  |  Submit date：2023/02/07
Portfolio optimization  Market impact cost  Multi-objective optimization  Evolutionary computation  Memetic algorithm  
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：82/0  |  Submit date：2022/06/21
Portfolio selection  Multi-period  Investor views  Scenario tree  Optimization  
Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets 期刊论文
Financial Innovation, 2021, 卷号: 7, 期号: 1
Authors:  Li,Yuze;  Jiang,Shangrong;  Wei,Yunjie;  Wang,Shouyang
Favorite  |  View/Download：82/0  |  Submit date：2021/10/26
Portfolio optimization  Bitcoin  Deep learning  Reinforcement learning  Variational mode decomposition  
Sample average approximation of CVaR-based hedging problem with a deep-learning solution 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
Authors:  Peng, Cheng;  Li, Shuang;  Zhao, Yanlong;  Bao, Ying
Favorite  |  View/Download：104/0  |  Submit date：2021/04/26
Conditional Value-at-Risk  Hedging strategies  Deep learning  Theoretical guarantee  Sample average approximation  Uniform convergence  
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：106/0  |  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：106/0  |  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 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：123/0  |  Submit date：2019/04/02
Aggregation operator  Portfolio selection  The mean-variance model  The ordered modular averages  The ordered weighted averages  
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：121/0  |  Submit date：2018/07/30
Black-Litterman optimization  fuzzy covariance  fuzzy number  portfolio selection  
A sparse enhanced indexation model with chance and cardinality constraints 期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2018, 卷号: 70, 期号: 1, 页码: 5-25
Authors:  Xu, Fengmin;  Wang, Meihua;  Dai, Yu-Hong;  Xu, Dachuan
Favorite  |  View/Download：100/0  |  Submit date：2018/07/30
Enhanced indexation  Chance constraint  Mixed integer programming  Distributionally robust approach  
Robust two-stage stochastic linear optimization with risk aversion 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2017, 卷号: 256, 期号: 1, 页码: 215-229
Authors:  Ling, Aifan;  Sun, Jie;  Xiu, Naihua;  Yang, Xiaoguang
Favorite  |  View/Download：75/0  |  Submit date：2018/07/30
Uncertainty modeling  Stochastic programming  Robust optimization  Conditional value-at-risk  Semidefinite programming