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BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 346-379
Persistent link: https://www.econbiz.de/10009830081
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Portfolio selection with marginal risk control
Zhu, Shushang; Li, Duan; Sun, Xiaoling - In: The journal of computational finance 14 (2010) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10008713888
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Nonlinear portfolio selection using approximate parametric Value-at-Risk
Cui, Xueting; Zhu, Shushang; Sun, Xiaoling; Li, Duan - In: Journal of banking & finance 37 (2013) 6, pp. 2124-2139
Persistent link: https://www.econbiz.de/10010100373
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Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
Li, Yingjie; Zhu, Shushang; Li, Donghui; Li, Duan - In: European journal of operational research : EJOR 228 (2013) 3, pp. 556-570
Persistent link: https://www.econbiz.de/10010100415
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The Newsboy problem when customer demand is a compound renewal process
Huang, Dashan; Zhu, Shushang; Fabozzi, Frank J.; … - In: European journal of operational research : EJOR 203 (2010) 1, pp. 134-143
Persistent link: https://www.econbiz.de/10008349009
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Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
Zhu, Shushang; Fukushima, Masao - In: Operations research : the journal of the Operations … 57 (2009) 5, pp. 1155-1168
Persistent link: https://www.econbiz.de/10008321594
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Factor-risk-constrained mean — Variance portfolio selection: Formulation and global optimization solution approach
Zhu, Shushang; Cui, Xueting; Sun, Xiaoling; Li, Duan - In: Journal of risk 14 (2012) 2, pp. 51-51
Persistent link: https://www.econbiz.de/10009816302
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On weighted centers for semidefinite programming
Sturm, Jos F.; Zhang, Shuzhong - In: European journal of operational research : EJOR 126 (2000) 2, pp. 391-407
Persistent link: https://www.econbiz.de/10006662110
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New variants of finite criss-cross pivot algorithms for linearprogramming
Zhang, Shuzhong - In: European journal of operational research : EJOR 116 (1999) 3, pp. 607-614
Persistent link: https://www.econbiz.de/10006667225
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On the long-step path-following method for semidefinite programming
Sturm, Jos F.; Zhang, Shuzhong - In: Operations research letters 22 (1997) 4-5, pp. 145-150
Persistent link: https://www.econbiz.de/10006849563