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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
作者:  Wang, Christina Dan;  Chen, Zhao;  Lian, Yimin;  Chen, Min
收藏  |  浏览/下载：159/0  |  提交时间：2022/04/29
Asset selection  High frequency Sharpe ratio  Ultrahigh dimensional  Serial correlation  Sure screening property  
Atomic Dynamic Flow Games: Adaptive vs. Nonadaptive Agents 期刊论文
OPERATIONS RESEARCH, 2021, 页码: 17
作者:  Cao, Zhigang;  Chen, Bo;  Chen, Xujin;  Wang, Changjun
收藏  |  浏览/下载：121/0  |  提交时间：2022/04/02
selfish atomic routing  deterministic queuing  adaptive routing  subgame perfect equilibrium  Nash equilibrium  
A class of weighted estimating equations for additive hazard models with covariates missing at random 期刊论文
SCIENCE CHINA-MATHEMATICS, 2021, 页码: 20
作者:  Jin, Jin;  Ye, Peng;  Sun, Liuquan
收藏  |  浏览/下载：146/0  |  提交时间：2021/10/26
additive hazard model  censored data  kernel smoothing  missing at random  weighted estimating equation  
Optimal selection and release problem in software testing process: A continuous time stochastic control approach 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2020, 卷号: 285, 期号: 1, 页码: 211-222
作者:  Cao, Ping;  Yang, Ke;  Liu, Ke
收藏  |  浏览/下载：189/0  |  提交时间：2020/06/30
Project management  Software testing process  Dynamic programming  Continuous time stochastic optimal control  Optimal software testing and release  
Technical Note-Constant-Order Policies for Lost-Sales Inventory Models with Random Supply Functions: Asymptotics and Heuristic 期刊论文
OPERATIONS RESEARCH, 2020, 卷号: 68, 期号: 4, 页码: 1063-1073
作者:  Bu, Jinzhi;  Gong, Xiting;  Yao, Dacheng
收藏  |  浏览/下载：168/0  |  提交时间：2020/09/23
inventory  lost sales  random supply function  constant-order policy  lead time  penalty cost  
Coordination contract design for the newsvendor model 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2020, 卷号: 283, 期号: 1, 页码: 380-389
作者:  Li, Linqiu;  Liu, Ke
收藏  |  浏览/下载：156/0  |  提交时间：2020/05/24
Supply chain management  Game theory  Asymmetric information  Mechanism design  
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting 期刊论文
MATHEMATICAL FINANCE, 2019, 卷号: 29, 期号: 3, 页码: 898-927
作者:  Jin, Hanqing;  Xia, Jianming;  Zhou, Xun Yu
收藏  |  浏览/下载：188/0  |  提交时间：2020/01/10
Arrow-Debreu equilibrium  comonotone Pareto optimum  price equilibrium with transfers  probability weighting  rank-dependent utility  state-price density  G11  
M-estimation for periodic GARCH model with high-frequency data 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2017, 卷号: 33, 期号: 3, 页码: 717-730
作者:  Fan, Peng-ying;  Wu, Si-xin;  Zhao, Zi-long;  Chen, Min
收藏  |  浏览/下载：156/0  |  提交时间：2018/07/30
asymptotic normality  consistency  high-frequency data  PGARCH model  M-estimator  
Analysis of Panel Count Data with Time-dependent Covariates and Informative Observation Process 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2017, 卷号: 33, 期号: 1, 页码: 147-156
作者:  Fang, Sha;  Zhang, Hai-xiang;  Sun, Liu-quan;  Wang, De-hui
收藏  |  浏览/下载：128/0  |  提交时间：2018/07/30
estimating equation  informative observation process  joint modeling  model checking  panel count data  
Asymmetric information, heterogeneous prior beliefs, and public information 期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2016, 卷号: 46, 页码: 100-120
作者:  Gong, Fuzhou;  Liu, Hong
收藏  |  浏览/下载：118/0  |  提交时间：2018/07/30
Public disclosure  Insider trading  Price discovery  Heterogeneous prior beliefs  Granger causality