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Postoptimality for mean-risk stochastic mixed-integer programs and its application
Chen, Zhiping; Zhang, Feng; Li Yang - In: Mathematical methods of operations research 74 (2011) 3, pp. 445-465
Persistent link: https://www.econbiz.de/10009405059
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Optimal policy for a time consistent mean-variance model with regime switching
Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234
Persistent link: https://www.econbiz.de/10011567026
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Stochastic geometric optimization with joint probabilistic constraints
Liu, Jia; Lisser, Abdel; Chen, Zhiping - In: Operations research letters 44 (2016) 5, pp. 687-691
Persistent link: https://www.econbiz.de/10011596645
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Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Chen, Zhiping; Yang, Peng - In: Insurance / Mathematics & economics 92 (2020), pp. 27-46
Persistent link: https://www.econbiz.de/10012242037
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Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-33
Persistent link: https://www.econbiz.de/10012153045
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Quantitative stability of multistage stochastic programs via calm modifications
Jiang, Jie; Chen, Zhiping - In: Operations research letters 46 (2018) 5, pp. 543-547
Persistent link: https://www.econbiz.de/10011936703
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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. 149-163
Persistent link: https://www.econbiz.de/10009533448
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Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
Ji, Bingbing; Chen, Zhiping; Consigli, Giorgio; Yan, Zhe - In: Quantitative finance 22 (2022) 9, pp. 1759-1784
Persistent link: https://www.econbiz.de/10013367945
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Distributionally robust chance constrained geometric optimization
Liu, Jia; Lisser, Abdel; Chen, Zhiping - In: Mathematics of operations research 47 (2022) 4, pp. 2950-2988
Persistent link: https://www.econbiz.de/10014311394
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Multi-stage distributionally robust convex stochastic optimization with Bayesian-type ambiguity sets
Ma, Wentao; Chen, Zhiping - In: Mathematical methods of operations research : ZOR 100 (2024) 2, pp. 553-600
Persistent link: https://www.econbiz.de/10015126912