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Automation of the individualized investing strategy for an investment advisor established by a semi-Markov regime-switching model
Liu, Junrong; Chen, Zhiping; Duan, Qihong - In: Computational economics 63 (2024) 6, pp. 2351-2370
Persistent link: https://www.econbiz.de/10014636746
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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/10003025394
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Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework
Yang, Peng; Chen, Zhiping - In: IMA journal of management mathematics 34 (2023) 4, pp. 661-694
Persistent link: https://www.econbiz.de/10014389017
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Nonlinearly weighted convex risk measure and its application
Chen, Zhiping; Li Yang - In: Journal of banking & finance 35 (2011) 7, pp. 1777-1793
Persistent link: https://www.econbiz.de/10009247606
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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. 885-919
Persistent link: https://www.econbiz.de/10009631523
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Tail nonlinearly transformed risk measure and its application
Chen, Zhiping; Li Yang; Xu, Daobao; Hu, Qianhui - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 817-860
Persistent link: https://www.econbiz.de/10009631526
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Time-consistent investment policies in Markovian markets : a case of mean-variance analysis
Chen, Zhiping; Li, Gang; Zhao, Yonggan - In: Journal of economic dynamics & control 40 (2014), pp. 293-316
Persistent link: https://www.econbiz.de/10010424358
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Optimal investment policy in the time consistent mean-variance formulation
Chen, Zhiping; Li, Gang; Guo, Ju'e - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 145-156
Persistent link: https://www.econbiz.de/10009736120
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New DEA performance evaluation indices and their applications in the American fund market
Lin, Ruiyue; Chen, Zhiping - In: Asia Pacific journal of operational research : APJOR 25 (2008) 4, pp. 421-450
Persistent link: https://www.econbiz.de/10003765940
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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/10003796150