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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：151/0  |  提交时间：2022/04/29
Asset selection  High frequency Sharpe ratio  Ultrahigh dimensional  Serial correlation  Sure screening property  
Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints 期刊论文
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2022, 卷号: 13, 期号: 3, 页码: SC87-SC98
作者:  Wang, Xiangyu;  Xia, Jianming;  Xu, Zuo Quan;  Yang, Zhou
收藏  |  浏览/下载：39/0  |  提交时间：2023/02/07
SSD-minimal  stochastic dominance  Skorokhod lemma  complete market  risk minimizing  
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：117/0  |  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：142/0  |  提交时间：2021/10/26
additive hazard model  censored data  kernel smoothing  missing at random  weighted estimating equation  
Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets 期刊论文
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2021, 卷号: 12, 期号: 3, 页码: 1054-1111
作者:  Wang, Xiangyu;  Xia, Jianming
收藏  |  浏览/下载：122/0  |  提交时间：2022/04/02
expected utility maximization  stochastic dominance  tail risk management  risk sharing  quantile formulation  
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：187/0  |  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：164/0  |  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：153/0  |  提交时间：2020/05/24
Supply chain management  Game theory  Asymmetric information  Mechanism design  
Proportional Mean Residual Life Model with Varying Coefficients for Length-Biased and Right-Censored Data 期刊论文
ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2020, 卷号: 36, 期号: 5, 页码: 578-596
作者:  Xu, Da;  Zhou, Yong
收藏  |  浏览/下载：155/0  |  提交时间：2020/06/30
Length-biased data  proportional hazards model  mean residual life  varying-coefficient model  
Thekth power expectile regression 期刊论文
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2019, 页码: 31
作者:  Jiang, Yingying;  Lin, Fuming;  Zhou, Yong
收藏  |  浏览/下载：138/0  |  提交时间：2020/09/23
Asymptotic variance  Thekth power expectile  Expectiles  Quantiles