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Tail nonlinearly transformed risk measure and its application
Chen, Zhiping; Yang, Li; Xu, Daobao; Hu, Qianhui - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 817-861
Persistent link: https://www.econbiz.de/10010023502
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Postoptimality for mean-risk stochastic mixed-integer programs and its application
Chen, Zhiping; Zhang, Feng; Yang, Li - In: Mathematical methods of operations research 74 (2011) 3, pp. 445-466
Persistent link: https://www.econbiz.de/10009800151
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Nonlinearly weighted convex risk measure and its application
Chen, Zhiping; Yang, Li - In: Journal of banking & finance 35 (2011) 7, pp. 1777-1794
Persistent link: https://www.econbiz.de/10009133082
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Optimal consumption and investment problems under GARCH with transaction costs
Chen, Zhiping; Yuen, K.C. - In: Mathematical methods of operations research 61 (2005) 2, pp. 219-238
Persistent link: https://www.econbiz.de/10006607247
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Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control
Chen, Zhiping - In: OR spectrum : quantitative approaches in management 27 (2005) 4, pp. 603-632
Persistent link: https://www.econbiz.de/10006812830
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Insurance claims modulated by a hidden Brownian marked point process
Elliott, Robert J.; Chen, Zhiping; Duan, Qihong - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 163-172
Persistent link: https://www.econbiz.de/10008314501
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Two-sided coherent risk measures and their application in realistic portfolio optimization
Chen, Zhiping; Wang, Yi - In: Journal of banking & finance 32 (2008) 12, pp. 2667-2673
Persistent link: https://www.econbiz.de/10008141148
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Mutual fund performance evaluation using data envelopment analysis with new risk measures
Chen, Zhiping; Lin, Ruiyue - In: OR spectrum : quantitative approaches in management 28 (2006) 3, pp. 375-398
Persistent link: https://www.econbiz.de/10007280921
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Quantitative stability of mixed-integer two-stage quadratic stochastic programs
Chen, Zhiping; Han, Youpan - In: Mathematical methods of operations research 75 (2012) 2, pp. 149-164
Persistent link: https://www.econbiz.de/10009978590
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Dynamic portfolio optimization under multi-factor model in stochastic markets
Chen, Zhiping; Song, Zhenxia - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 885-920
Persistent link: https://www.econbiz.de/10010023504