2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.OC2023★ 2 cited
Chance Constrained Program with Quadratic Randomness: A Unified Approach Based on Gaussian Mixture Distribution
Xiaochuan Pang, Shushang Zhu, Zhaolin Hu
This paper investigates the stochastic program with the chance constraint on a quadratic form of random variables following multivariate Gaussian mixture distribution (GMD). Under…
q-fin.PM2022
Systemic Risk of Optioned Portfolios: Controllability and Optimization
Xiaochuan Pang, Shushang Zhu, Xueting Cui +1
We investigate the portfolio selection problem against the systemic risk which is measured by CoVaR. We first demonstrate that the systemic risk of pure stock portfolios is essenti…