12 citations · 16 across the 4 of their papers we have counts for
4 papers
Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model
Dong Yan, Ke Zhou, Zirun Wang +1
In this paper, we investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting pro…
On the upper and lower covariances under multiple probabilities
Xinpeng Li, Jingxu Niu, Ke Zhou
In this paper, we define the upper (resp. lower) covariance under multiple probabilities via a corresponding max-min-max (resp. min-max-min) optimization problem and the related pr…
A Study of Distributionally Robust Multistage Stochastic Optimization
Jianqiu Huang, Kezhuo Zhou, Yongpei Guan
In this paper, we focus on a data-driven risk-averse multistage stochastic programming (RMSP) model considering distributional robustness. We optimize the RMSP over the worst-case…
Polynomial Time Algorithms and Extended Formulations for Unit Commitment Problems
Yongpei Guan, Kai Pan, Kezhuo Zhou
Recently increasing penetration of renewable energy generation brings challenges for power system operators to perform efficient power generation daily scheduling, due to the inter…