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A vehicle routing problem with distribution uncertainty in deadlines

Zhang, Dali; Li, Dong; Sun, Hailin; Hou, Liwen - In: European journal of operational research : EJOR 292 (2021) 1, pp. 311-326

Persistent link: https://www.econbiz.de/10012495440

Change-point detection for expected shortfall in time series

Sun, Lingyu; Li, Dong - In: Journal of management science and engineering 6 (2021) 3, pp. 324-335

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the...

Persistent link: https://www.econbiz.de/10013206368

Prediction of extremal expectile based on regression models with heteroscedastic extremes

Xu, Wen; Hou, Yanxi; Li, Deyuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 522-536

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Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal

Cui, Xueting; Zhu, Shushang; Sun, Xiaoling; Li, Duan - In: Journal of banking & finance 37 (2013) 6, pp. 2124-2139

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Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach

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Portfolio management with robustness in both prediction and decision : a mixture model based learning approach

Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25

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A robust set-valued scenario approach for handling modeling risk in portfolio optimization

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Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

Gao, Jianjun; Xiong, Yan; Li, Duan - In: European journal of operational research : EJOR 249 (2016) 2, pp. 647-656

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Portfolio optimization with nonparametric value at risk : a block coordinate descent method

Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; … - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 454-471

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Dynamic Mean-Risk Portfolio Selection with Multiple Risk Measures in Continuous-Time

Gao, Jianjun - 2014

Different risk measures emphasize different aspects of a random loss. If we examine the investment performance according to different spectra of the risk measures, any policy generated from a mean-risk portfolio model with a sole risk measure may not be a good choice. We study in this paper the...

Persistent link: https://www.econbiz.de/10013060493