2 citations · 3 across the 4 of their papers we have counts for
4 papers
Integrating Different Informations for Portfolio Selection
Yi Huang, Wei Zhu, Duan Li +2
Following the idea of Bayesian learning via Gaussian mixture model, we organically combine the backward-looking information contained in the historical data and the forward-looking…
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…
Optimal Systemic Risk Bailout: A PGO Approach Based on Neural Network
Shuhua Xiao, Jiali Ma, Li Xia +1
In the financial system, bailout strategies play a pivotal role in mitigating substantial losses resulting from systemic risk. However, the lack of a closed-form objective function…
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…