2 citations · 2 across the 2 of their papers we have counts for
3 papers
math.OC2026
Mean-Variance Portfolio Selection: Statistical Properties and Distributionally Robust Optimization
Zhaolin Hu
We study Markowitz's mean-variance portfolio optimization problem. When practically using this model, the mean vector and the covariance matrix of the assets returns often need to…
math.OC2025
Some Studies on Stochastic Optimization based Quantitative Risk Management
Zhaolin Hu
Risk management often plays an important role in decision making under uncertainty. In quantitative risk management, assessing and optimizing risk metrics requires efficient comput…
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…