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Improving minimum-variance portfolio through shrinkage of large covariance matrices Journal article
Shi, Fangquan, Shu, Lianjie, He, Fangyi, Huang, Wenpo. Improving minimum-variance portfolio through shrinkage of large covariance matrices[J]. Economic Modelling, 2025, 144, 106981.
Authors:  Shi, Fangquan;  Shu, Lianjie;  He, Fangyi;  Huang, Wenpo
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:4.2/4.2 | Submit date：2025/01/22
Portfolio Optimization  Covariance Matrix  Linear Shrinkage  High Dimension  
Multi-period portfolio optimization: A parallel NSGA-III algorithm with real-world constraints Journal article
Qian, Yihe, Wang, Jinpeng. Multi-period portfolio optimization: A parallel NSGA-III algorithm with real-world constraints[J]. Finance Research Letters, 2024, 60, 104868.
Authors:  Qian, Yihe;  Wang, Jinpeng
Favorite | TC[WOS]:1 TC[Scopus]:1  IF:7.4/7.6 | Submit date：2024/02/22
Genetic Algorithm  Portfolio Optimization  Risk Management  
Stochastic Maximum Principle Under Probability Distortion Journal article
Liang, Qizhu, Xiong, Jie. Stochastic Maximum Principle Under Probability Distortion[J]. APPLIED MATHEMATICS AND OPTIMIZATION, 2021, 83(3), 2109 - 2128.
Authors:  Liang, Qizhu;  Xiong, Jie
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:1.6/1.8 | Submit date：2021/12/08
Behavioral Portfolio Optimization  Cumulative Prospective Theory  Stochastic Maximum Principle  Probability Distortion  S-shaped Utility Function