Special Issue: New Challenges in Financial Optimization and Risk Management
Guest Editors: Xiao-Guang Yang, Shu-Shang Zhu
https://link.springer.com/journal/40305/6/1/page/1
Xiao-Guang Yang, Shu-Shang Zhu
Preface: Special Issue on New Challenges in Financial Optimization and Risk Management
J. Oper. Res. Soc. China 6 (1), 1-2 (2018)
https://doi.org/10.1007/s40305-018-0199-1
Wei Zhu, Cai-Hong Zhang, Qian Liu, Shu-Shang Zhu
Incorporating Convexity in Bond Portfolio Immunization Using Multifactor Model: A Semidefinite Programming Approach
J. Oper. Res. Soc. China 6 (1), 3-23 (2018)
https://doi.org/10.1007/s40305-018-0196-4
Jing-Tang Ma, Wen-Yuan Li, Zhen-Yu Cui
Valuation of American Strangles Through an Optimized Lower–Upper Bound Approach
J. Oper. Res. Soc. China 6 (1), 25-47 (2018)
https://doi.org/10.1007/s40305-017-0174-2
Jia-Hua Zhang, Shu-Cherng Fang, Yi-Fan Xu
Core of the Reinsurance Market with Dependent Risks
J. Oper. Res. Soc. China 6 (1), 49-57 (2018)
https://doi.org/10.1007/s40305-017-0173-3
Yu-Hong Xu
Robust Valuation, Arbitrage Ambiguity and Profit & Loss Analysis
J. Oper. Res. Soc. China 6 (1), 59-83 (2018)
https://doi.org/10.1007/s40305-017-0181-3
Meng Zhang, Li-Li Wang, Jin-Chuan Cui
Extra Resource Allocation: A DEA Approach in the View of Efficiencies
J. Oper. Res. Soc. China 6 (1), 85-106 (2018)
https://doi.org/10.1007/s40305-017-0187-x
Chun-Feng Wang, Hao Chang, Zhen-Ming Fang
Optimal Portfolio and Consumption Rule with a CIR Model Under HARA Utility
J. Oper. Res. Soc. China 6 (1), 107-137 (2018)
https://doi.org/10.1007/s40305-017-0189-8
Jia Liu, Zhi-Ping Chen, Yong-Chang Hui
Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection
J. Oper. Res. Soc. China 6 (1), 139-158 (2018)
https://doi.org/10.1007/s40305-017-0188-9
Wei-Ping Wu, Jian-Jun Gao
Explicit Solution for Constrained Optimal Execution Problem with General Correlated Market Depth
J. Oper. Res. Soc. China 6 (1), 159-174 (2018)
https://doi.org/10.1007/s40305-018-0197-3
Liu-Meng Peng, Xiang-Yu Cui, Yun Shi
Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion
J. Oper. Res. Soc. China 6 (1), 175-188 (2018)
https://doi.org/10.1007/s40305-018-0191-9