MULTI-PERIOD

作品数：43被引量：110H指数：6
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The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management被引量：1
《Journal of Systems Science & Complexity》2023年第6期2515-2535,共21页WU Xianping WU Weiping LIN Yu 
partially supported by the National Natural Science Foundation of China under Grant Nos.72201067,12201129,and 71973028;the Natural Science Foundation of Guangdong Province under Grant No.2022A1515010839;the Project of Science and Technology of Guangzhou under Grant No.202102020273;the Opening Project of Guangdong Province Key Laboratory of Computational Science at Sun Yat-sen University under Grant No.2021004。
This paper studies the multi-period mean-variance(MV)asset-liability portfolio management problem(MVAL),in which the portfolio is constructed by risky assets and liability.It is worth mentioning that the impact of gen...
关键词：Asset-liability management dynamic programming MEAN-VARIANCE multi-period portfolio stochastic correlated returns 
A New Risk Measure MMVaR:Properties and Empirical Research
《Journal of Systems Science & Complexity》2023年第5期2026-2045,共20页TAN Keqi CHEN Yu CHEN Dan 
supported by the National Social Science Fund of China under Grant No.22BTJ027。
The paper presents the properties of an alternative method,which measures market risk over time-horizon exceeding one day:Mark to market value at risk(MMVaR).Relying on the minimal returns during the time interval,thi...
关键词：MMVaR multi-period risk risk measure subadditive 
Multi-Period Telser's Safety-First Portfolio Selection Problem in a Defined Contribution Pension Plan
《Journal of Systems Science & Complexity》2023年第3期1189-1227,共39页LI Fangbo WU Huiling YAO Haixiang 
supported by grants from Innovation Research in Central University of Finance and Economics,National Natural Science Foundation of China under Grant Nos.11671411,71871071,72071051,Guangdong Basic and Applied Basic Research Foundation under Grant No.2018B030311004,the Key Program of the National Social Science Foundation of China under Grant No.21AZD071 and the 111 Project under Grant No.B17050.
This paper investigates a multi-period portfolio optimization problem for a defined contribution pension plan with Telser's safety-first criterion.The plan members aim to maximize the expected terminal wealth subject ...
关键词：Defined contribution pension plan dynamic programming portfolio selection optimization risk control Telser's safety-first criterion 
A Multi-Period Constrained Multi-Objective Evolutionary Algorithm with Orthogonal Learning for Solving the Complex Carbon Neutral Stock Portfolio Optimization Model
《Journal of Systems Science & Complexity》2023年第2期686-715,共30页CHEN Yinnan YE Lingjuan LI Rui ZHAO Xinchao 
supported by the National Natural Science Foundation of China under Grant No.61973042;Beijing Natural Science Foundation under Grant No.1202020。
Financial market has systemic complexity and uncertainty.For investors,return and risk often coexist.How to rationally allocate funds into different assets and achieve excess returns with effectively controlling risk ...
关键词：Constrained multi-objective optimization carbon-neutral multi-period constrained multiobjective evolutionary algorithm orthogonal learning portfolio optimization 
Modeling and Solving a Multi-Period Inventory Fulfilling and Routing Problem for Hazardous Materials
《Journal of Systems Science & Complexity》2020年第3期760-782,共23页HU Hao LI Jian LI Xiang SHANG Changjing 
supported by the National Natural Science Foundation of China under Grant Nos.71571010,71722007;a Fundamental Research Funds for the Central Universities under Grant No.XK1802-5;a Ser CymruⅡCOFUND Research Fellowship,UK;a Great Wall Scholar Training Program of Beijing Municipality under Grant No.CIT&TCD20180305。
Any potential damage may be severe once an accident occurs involving hazardous materials.It is therefore important to consider the risk factor concerning hazardous material supply chains,in order to make the best inve...
关键词：Genetic algorithm integer programming model limited production capacity multi-period inventory routing problem 
DYNAMIC CVAR WITH MULTI-PERIOD RISK PROBLEMS被引量：1
《Journal of Systems Science & Complexity》2011年第5期907-918,共12页Zhiqing MENG Min JIANG Qiying HU 
This research was supported in part by the National Natural Science Foundation of China under Grant Nos. 70971023 and 71001089 and in part by the Natural Science Foundation of Zhejiang Province under Grant No. Y60860040.
This paper studies multi-period risk management problems by presenting a dynamic risk measure. This risk measure is the sum of conditional value-at-risk of each period. The authors model it by Markov decision processe...
关键词：α-CVaR MULTI-PERIOD optimality equation optimal policy. 
MULTI-PERIOD MEAN-VARIANCE PORTFOLIO SELECTION WITH MARKOV REGIME SWITCHING AND UNCERTAIN TIME-HORIZON被引量：10
《Journal of Systems Science & Complexity》2011年第1期140-155,共16页Huiling WU Zhongfei LI 
This research is supported by the National Science Foundation for Distinguished Young Scholars under Grant No. 70825002, the National Natural Science Foundation of China under Grant No. 70518001, and the National Basic Research Program of China 973 Program, under Grant No. 2007CB814902.
This paper investigates a multi-period mean-variance portfolio selection with regime switching and uncertain exit time. The returns of assets all depend on the states of the stochastic market which are assumed to foll...
关键词：Dynamic programming Markov regime switching MEAN-VARIANCE portfolio selection uncertain time-horizon. 
A MULTI-PERIOD PRICING AND INVENTORY CONTROL MODEL
《Journal of Systems Science & Complexity》2010年第2期249-260,共12页Juliang ZHANG Jian CHEN 
supported by the National Natural Science Foundation of China under Grant Nos.70621061,70671100,70501014;Beijing Philosophy and Social Science, Research Center for Beijing Transportation Development
The authors analyze a finite horizon,single product,period review model in which pricingand inventory decisions are made simultaneously.Demands in different periods are random variablesthat are independent of each oth...
关键词：Convex cost function planning horizon PRICING stochastic inventory management uncertainty. 
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