2 citations · 2 across the 6 of their papers we have counts for
6 papers
Mixing-Law Uncertainty in Multivariate Normal Mean-Variance Mixtures: Semi-parametric Estimation and Robust Cumulative-Prospect Decisions
Nuerxiati Abudurexiti
The distribution of a normal mean-variance mixture depends on the law of its positive mixing variable. We compare six parametric mixing laws with a grid nonparametric maximum likel…
A Finite-Candidate Distributionally Robust Tri-Objective Newsvendor Model for Energy Storage Capacity Reservation
Nuerxiati Abudurexiti
Energy storage operators often reserve usable capacity before uncertain market opportunities are realized, for example when a day-ahead operator commits capacity for an evening pea…
SAMP-HDRL: Segmented Allocation with Momentum-Adjusted Utility for Multi-agent Portfolio Management via Hierarchical Deep Reinforcement Learning
Xiaotian Ren, Nuerxiati Abudurexiti, Zhengyong Jiang +3
Portfolio optimization in non-stationary markets is challenging due to regime shifts, dynamic correlations, and the limited interpretability of deep reinforcement learning (DRL) po…
Two-fund separation under hyperbolically distributed returns and concave utility functions
Nuerxiati Abudurexiti, Erhan Bayraktar, Takaki Hayashi +1
Portfolio selection problems that optimize expected utility are usually difficult to solve. If the number of assets in the portfolio is large, such expected utility maximization pr…
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
Nuerxiati Abudurexiti, Kai He, Dongdong Hu +3
The paper Zhao et al. (2015) shows that mean-CVaR-skewness portfolio optimization problems based on asymetric Laplace (AL) distributions can be transformed into quadratic optimizat…
A note on closed-form spread option valuation under log-normal models
Nuerxiati Abudurexiti, Kai He, Dongdong Hu +1
In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this…