Sun, Wei; Zhao, Yonggan; MacLean, Leonard Real options in a duopoly with jump diffusion prices. (English) Zbl 1482.91221 Asia-Pac. J. Oper. Res. 38, No. 6, Article ID 2150009, 29 p. (2021). MSC: 91G50 91G80 91A80 60J74 PDFBibTeX XMLCite \textit{W. Sun} et al., Asia-Pac. J. Oper. Res. 38, No. 6, Article ID 2150009, 29 p. (2021; Zbl 1482.91221) Full Text: DOI
Chen, Zhiping; Liu, Jia; Hui, Yongchang Recursive risk measures under regime switching applied to portfolio selection. (English) Zbl 1402.91673 Quant. Finance 17, No. 9, 1457-1476 (2017). MSC: 91G10 PDFBibTeX XMLCite \textit{Z. Chen} et al., Quant. Finance 17, No. 9, 1457--1476 (2017; Zbl 1402.91673) Full Text: DOI
Valle, C. A.; Meade, N.; Beasley, J. E. Factor neutral portfolios. (English) Zbl 1323.91042 OR Spectrum 37, No. 4, 843-867 (2015). MSC: 91G10 90C11 90C05 PDFBibTeX XMLCite \textit{C. A. Valle} et al., OR Spectrum 37, No. 4, 843--867 (2015; Zbl 1323.91042) Full Text: DOI
Chen, Zhiping; Li, Gang; Zhao, Yonggan Time-consistent investment policies in Markovian markets: a case of mean-variance analysis. (English) Zbl 1402.91672 J. Econ. Dyn. Control 40, 293-316 (2014). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{Z. Chen} et al., J. Econ. Dyn. Control 40, 293--316 (2014; Zbl 1402.91672) Full Text: DOI
Valle, C. A.; Meade, N.; Beasley, J. E. Market neutral portfolios. (English) Zbl 1308.90113 Optim. Lett. 8, No. 7, 1961-1984 (2014). MSC: 90C11 91G10 PDFBibTeX XMLCite \textit{C. A. Valle} et al., Optim. Lett. 8, No. 7, 1961--1984 (2014; Zbl 1308.90113) Full Text: DOI
Chen, Zhiping; Song, Zhenxia Dynamic portfolio optimization under multi-factor model in stochastic markets. (English) Zbl 1282.91297 OR Spectrum 34, No. 4, 885-919 (2012). MSC: 91G10 91G80 90C15 90C39 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{Z. Song}, OR Spectrum 34, No. 4, 885--919 (2012; Zbl 1282.91297) Full Text: DOI