85 citations · 144 across the 16 of their papers we have counts for
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math.OC2016★ 85 cited
Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information
Yiling Zhang, Ruiwei Jiang, Siqian Shen
We consider chance-constrained binary programs, where each row of the inequalities that involve uncertainty needs to be satisfied probabilistically. Only the information of the mea…
q-fin.PM2016
Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance
Byung-Geun Choi, Napat Rujeerapaiboon, Ruiwei Jiang
Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For seria…