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MEAN-VARIANCE: 作品数：38被引量：55H指数：4; 导出分析报告; 相关领域：经济管理更多>>; 相关作者：陈磊魏雪包晓安张娜刘从军更多>>; 相关机构：浙江理工大学江苏科大汇峰科技有限公司上海对外经贸大学江苏科技大学更多>>; 相关期刊：《Financial Innovation》《Acta Mathematicae Applicatae Sinica》《应用概率统计》《Journal of Modern Accounting and Auditing》更多>>; 相关基金：国家自然科学基金国家重点基础研究发展计划上海市教育委员会重点学科基金中国博士后科学基金更多>>

The optimal strategy of the dynamic mean-variance problem for pairs trading with a common stochastic factor: 《Probability, Uncertainty and Quantitative Risk》2024年第4期529-552,共24页Yaoyuan Zhang Dewen Xiong; This paper studics thc optimal pairs trading stratcgy of the mcan-variance(MV)objective function under a continuous-time cointegration model with a common stochastic factor.Although this common stochastic factor is no...; 关键词：Continuous-time cointegration model Dynamic mean-variance problem Pairs trading Mcan-reverting process

Curve Classification Based onMean-Variance Feature Weighting and Its Application: 《Computers, Materials & Continua》2024年第5期2465-2480,共16页Zewen Zhang Sheng Zhou Chunzheng Cao; the National Social Science Foundation of China(Grant No.22BTJ035).; The classification of functional data has drawn much attention in recent years.The main challenge is representing infinite-dimensional functional data by finite-dimensional features while utilizing those features to a...; 关键词：Functional data analysis CLASSIFICATION feature weighting B-SPLINES

The Time-Consistent Optimal Reinsurance Strategy of Insurance Group under the CEV Model: 《Proceedings of Business and Economic Studies》2024年第2期205-221,共17页Yuhong Yang Aiyin Wang; The article introduces proportional reinsurance contracts under the mean-variance criterion,studying the time-consistence investment portfolio problem considering the interests of both insurance companies and reinsura...; 关键词：MEAN-VARIANCE Joint benefit Extended HJB equation Constant elastic variance model

Online risk‑based portfolio allocation on subsets of crypto assets applying a prototype‑based clustering algorithm: 《Financial Innovation》2023年第1期797-836,共40页Luis Lorenzo Javier Arroyo; supported by the European Union’s H2020 Coordination and Support Actions CA19130 under Grant Agreement Period 2.; Mean-variance portfolio optimization models are sensitive to uncertainty in risk-return estimates,which may result in poor out-of-sample performance.In particular,the estimates may suffer when the number of assets con...; 关键词：Fintech MEAN-VARIANCE Cryptocurrency Electronic market Portfolio allocation model Clustering

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 comparative study of heuristic methods for cardinality constrained portfolio optimization: 《High-Confidence Computing》2023年第1期23-30,共8页Lei Fu Jun Li Shanwen Pu; This research was supported by the Jiangsu Funding Program for Excellent Postdoctoral Talent(2022ZB804).; The cardinality constrained mean–variance(CCMV)portfolio selection model aims to identify a subset of the candidate assets such that the constructed portfolio has a guaranteed expected return and minimum variance.By ...; 关键词：ACCELERATION Mean-variance portfolio optimization Cardinality constraint Mixed-integer programming

UTILITY BASIS OF CONSUMPTION AND INVESTMENT DECISIONS IN A RISK ENVIRONMENT: 《Acta Mathematica Scientia》2022年第6期2377-2398,共22页Kangping WU; Using expectations regarding utilities to make decisions in a risk environment hides a paradox,which is called the expected utility enigma.Moreover,the mystery has not been solved yet;an imagined utility function on t...; 关键词：VNM condition relative risk aversion tendency mean-variance utility systematicrisk

Risk and Potential:An Asset Allocation Framework with Applications to Robo-Advising: 《Journal of the Operations Research Society of China》2022年第3期529-558,共30页Xiang-Yu Cui Duan Li Xiao Qiao Moris S.Strub; supported by the National Natural Science Foundation of China(Nos.71671106 and 72171138);by the Shanghai Institute of International Finance and Economics,and by the Program for Innovative Research Team of Shanghai University of Finance and Economics(No.2020110930);partially supported by the Research Grants Council of the Hong Kong Special Administrative Region,China(No.CityU 11200219);partially supported by the National Natural Science Foundation of China(No.72050410356).; We propose a novel dynamic asset allocation framework based on a family of mean-variance-induced utility functions that alleviate the non-monotonicity and time-inconsistency problems of mean-variance optimization.The ...; 关键词：Mean-risk optimization MEAN-VARIANCE Expected utility maximization Portfolio choice RISK POTENTIAL Robo-advising FinTech

Survey on Multi-period Mean-Variance Portfolio Selection Model: 《Journal of the Operations Research Society of China》2022年第3期599-622,共24页Xiang-Yu Cui Jian-Jun Gao Xun Li Yun Shi; partially supported by the National Natural Science Foundation of China(Nos.71971132,61573244,71671106,71971083 and 72171138);by the Key Program of National Natural Science Foundation of China(No.71931004);by Shanghai Institute of International Finance and Economics;by Program for Innovative Research Team of Shanghai University of Finance and Economics;by the Open Research Fund of Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE.; Due to the non-separability of the variance term,the dynamic mean-variance(MV)portfolio optimization problem is inherently difficult to solve by dynamic programming.Li and Ng(Math Finance 10(3):387-406,2000)and Zhou a...; 关键词：Multi-period mean-variance Investment constraints Time inconsistency

Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria:Partial and Full Information被引量：2: 《Journal of Systems Science & Complexity》2022年第4期1458-1479,共22页ZHU Shihao SHI Jingtao; supported by National Key R&D Program of China under Grant No.2018YFB1305400;the National Natural Science Foundations of China under Grant Nos.11971266,11831010,11571205;Shandong Provincial Natural Science Foundations under Grant Nos.ZR2020ZD24,ZR2019ZD42。; This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky asset price dynami...; 关键词：MEAN-VARIANCE optimal reinsurance and investment partial information stochastic filtering viscosity solution

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