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Optimal asset allocation using a combination of implied and historical information
Cheang, Chi Wan; Olmo, Jose; Ma, Tiejun; Sung, Ming-Chien; … - In: International review of financial analysis 67 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012299166
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Quantitative statistical robustness for tail-dependent law invariant risk measures
Wang, Wei; Xu, Huifu; Ma, Tiejun - In: Quantitative finance 21 (2021) 10, pp. 1669-1685
Persistent link: https://www.econbiz.de/10012653706
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Noisy market, machine learning and fundamental momentum
Ma, Tian; Sheng, Haoyun; Wang, Yuejie - In: Pacific-Basin finance journal 86 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015097365
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Factor momentum in the Chinese stock market
Ma, Tian; Liao, Cunfei; Jiang, Fuwei - In: Journal of empirical finance 75 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014491862
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Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
Wang, Wei; Xu, Huifu; Ma, Tiejun - In: European journal of operational research : EJOR 306 (2023) 1, pp. 322-347
Persistent link: https://www.econbiz.de/10014278005
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Attention is all you need : an interpretable transformer-based asset allocation approach
Ma, Tian; Wang, Wanwan; Chen, Yu - In: International review of financial analysis 90 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014469138