Narrow search
Showing 1 - 10 of 15
Cover Image
A Sparse Enhanced Indexation Model with L 1/2 Norm and Its Alternating Quadratic Penalty Method
Zhao, Zhihua; Xu, Fengmin; Wang, Meihua; Zhang, Cheng-yi - 2021
Optimal investment strategies for enhanced indexation problems have attracted considerable attentions over the last decades in the field of fund management. In this paper, a featured difference from the existing literature is that our main concern of the investigation is the development of a...
Persistent link: https://www.econbiz.de/10013239811
Cover Image
Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua; Xu, Fengmin; Du, Donglei; Meihua, Wang - In: Quantitative finance 21 (2021) 10, pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
Cover Image
New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
Xu, Fengmin; Li, Xuepeng; Dai, Yu-Hong; Meihua, Wang - In: International transactions in operational research : a … 30 (2023) 5, pp. 2640-2664
Persistent link: https://www.econbiz.de/10014261199
Cover Image
Robust Enhanced Indexation Optimization with Sparse Industry Layout Constraint
Allen-Zhao, Zhihua; Xu, Fengmin; Dai, Yu-Hong; Liu, Sanyang - 2023
In this paper, we investigate an enhanced indexation methodology using robust Conditional Value-at-Risk (CVaR) and group-sparse optimization. A featured difference from the existing literatures is to describe the tail risk using the worst-case CVaR of excess returns (WCVaR-ER), and the process...
Persistent link: https://www.econbiz.de/10014261716
Cover Image
Intelligent option portfolio model with perspective of shadow price and risk-free profit
Xu, Fengmin; Ma, Jieao - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28
Since Markowitz proposed modern portfolio theory, portfolio optimization has been being a classic topic in financial engineering. Although it is generally accepted that options help to improve the market, there is still an improvement for the portrayal of their unique properties in portfolio...
Persistent link: https://www.econbiz.de/10014289096
Cover Image
Data analysis technology and inequality in capital costs
Wang, Keyun; Xu, Fengmin; Wang, Shihao; Li, Benchu - In: Economics letters 237 (2024), pp. 1-5
Persistent link: https://www.econbiz.de/10015074472
Cover Image
Robust Enhanced Indexation Optimization with Sparse Industry Layout Constraint
Allen-Zhao, Zhihua; Xu, Fengmin; Dai, Yu-Hong; Liu, Sanyang - 2023
In this paper, we investigate an enhanced indexation methodology using robust Conditional Value-at-Risk (CVaR) and group-sparse optimization. A featured difference from the existing literatures is to describe the tail risk using the worst-case CVaR of excess returns (WCVaR-ER), and the process...
Persistent link: https://www.econbiz.de/10014256083
Cover Image
Corporate Preferences for Domestic Policy Instruments under a Sectoral Market Mechanism: A Case Study of Shanxi Province in China
Gao, Shuai; Cai, Wenjia; Liu, Wenling; Wang, Can; … - 2014
Understanding companies' preferences for various domestic policy instruments is crucial to designing and planning Sectoral Market Mechanism (SMM) in China. Based on a detailed overview of domestic policy instruments under SMM, this paper evaluates corporate preferences for diverse domestic...
Persistent link: https://www.econbiz.de/10010491233
Cover Image
Corporate Preferences for Domestic Policy Instruments under a Sectoral Market Mechanism: A Case Study of Shanxi Province in China
Gao, Shuai; Cai, Wenjia; Liu, Wenling; Wang, Can; … - Fondazione ENI Enrico Mattei (FEEM) - 2014
Understanding companies’ preferences for various domestic policy instruments is crucial to designing and planning Sectoral Market Mechanism (SMM) in China. Based on a detailed overview of domestic policy instruments under SMM, this paper evaluates corporate preferences for diverse domestic...
Persistent link: https://www.econbiz.de/10011162047
Cover Image
Corporate Preferences for Domestic Policy Instruments under a Sectoral Market Mechanism: A Case Study of Shanxi Province in China
Zhang, ZhongXiang; Gao, Shuai; Cai, Wenjia; Liu, Wenling; … - Crawford School of Public Policy, Australian National … - 2014
Understanding companies' preferences for various domestic policy instruments is crucial to designing and planning Sectoral Market Mechanism (SMM) in China. Based on a detailed overview of domestic policy instruments under SMM, this paper evaluates corporate preferences for diverse domestic...
Persistent link: https://www.econbiz.de/10010886817