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兰州财经大学机构知识库
Lanzhou University of Finance and Economics. All
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ROBUST OPTIMAL INVESTMENT STRATEGY FOR A DC PENSION PLAN IN THE MARKET WITH MISPRICING AND CONSTANT ELASTICITY OF VARIANCE
期刊论文
Journal of Industrial and Management Optimization, 2023, 卷号: 19, 期号: 10, 页码: 7540-7564
作者:
Sun, Jingyun
;
Yao, Haixiang
;
Li, Zhongfei
收藏
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浏览/下载：127/0
|
提交时间：2023/05/31
Commerce
Continuous time systems
Elasticity
Financial markets
Investments
Optimization
Stochastic control systems
Strategic planning
Allocation problems
Ambiguity averse
Ambiguity-averse investor
Asset allocation
Constant elasticity of variances
Investment strategy
Optimal investments
Pension funds
Power utility
Robust-optimal controls
ROBUST OPTIMAL INVESTMENT STRATEGY FOR A DC PENSION PLAN IN THE MARKET WITH MISPRICING AND CONSTANT ELASTICITY OF VARIANCE
期刊论文
Journal of Industrial and Management Optimization, 2023, 卷号: 19, 期号: 10, 页码: 7540-7564
作者:
Sun, Jingyun
;
Yao, Haixiang
;
Li, Zhongfei
收藏
|
浏览/下载：89/0
|
提交时间：2023/06/25
Commerce
Continuous time systems
Elasticity
Financial markets
Investments
Optimization
Stochastic control systems
Strategic planning
Allocation problems
Ambiguity averse
Ambiguity-averse investor
Asset allocation
Constant elasticity of variances
Investment strategy
Optimal investments
Pension funds
Power utility
Robust-optimal controls
The optimal investment strategy for DC pension plan with a dynamic investment target
期刊论文
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2017, 卷号: 37, 期号: 9, 页码: 2209-2221
作者:
Sun, Jingyun
;
Li, Zhongfei
;
Li, Yongwu
收藏
|
浏览/下载：88/0
|
提交时间：2021/03/24
Continuous time systems
Dynamic programming
Pension plans
Strategic planning
Continuous
time
Hamilton Jacobi Bellman equation
Mean variance
Optimal investments
Optimal strategies
Pension funds
Quadratic loss
Terminal wealth
Hub-and-spoke emergency rescue network planning
期刊论文
Jiaotong Yunshu Gongcheng Xuebao/Journal of Traffic and Transportation Engineering, 2023, 卷号: 23, 期号: 3, 页码: 198-208
作者:
Ma, Chang-Xi
;
Shi, Chu-Wei
;
Du, Bo
收藏
|
浏览/下载：55/0
|
提交时间：2023/09/04
Cost reduction
Decision making
Encoding (symbols)
Network coding
Optimal systems
Average rescue time
Emergency rescue
Emergency rescue channel
Emergency rescue station
Hub and spoke
Hub-and-spoke emergency rescue network
Multi-objective planning
Niche pareto genetic algorithm
Pareto genetic algorithms
Rescue stations
Transportation planning
Integrated RAGA-PP water demand forecast model (case study: Shaanxi Province, China)
期刊论文
Water Science and Technology: Water Supply, 2021, 卷号: 21, 期号: 4, 页码: 1806-1816
作者:
Yang, Jun
;
Mao, Yanning
;
Ma, Yuqi
;
Wu, Wei
;
Bai, Yuan
收藏
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浏览/下载：60/0
|
提交时间：2023/03/06
Water resources
Forecasting
Forestry
Genetic algorithms
Water supply
Water supply systems
Population statistics
Sales
Data handling
Average relative error
Logarithmic models
Mathematical method
Optimal selection models
Sustainable solution
Water demand forecasting
Water demand forecasts
Water Demand Management
Optimal Exercise Boundary of American Fractional Lookback Option in a Mixed Jump-Diffusion Fractional Brownian Motion Environment
期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2017, 卷号: 2017, 期号: 1, 页码: 1
作者:
Yang, Zhaoqiang
Adobe PDF(556Kb)
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浏览/下载：165/5
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提交时间：2021/03/24
Costs
Stochastic systems
Fractional brownian motion
Fundamental solutions
Integral representation
Jump diffusion
Market pricing
Optimal exercise boundary
Skorohod integrals
Stochastic parabolic partial differential equations
