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Shushang Zhu · Study
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Author
Shushang Zhu
11 works
· latest 2018
· 3 institutions
cluster: provisional
ORCID 0000-0003-3981-6659
Works
11 shown
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Quantitative Finance
·
2018
·
4 authors
53
citations
Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
Journal of Global Optimization
·
2012
·
3 authors
79
citations
BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
Mathematical Finance
·
2010
·
4 authors
130
citations
Robust portfolio selection under downside risk measures
Quantitative Finance
·
2009
·
3 authors
59
citations
Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
Operations Research
·
2009
·
2 authors
510
citations
Portfolio selection under distributional uncertainty: A relative robust CVaR approach
European Journal of Operational Research
·
2009
·
4 authors
·
Open access
120
citations
Portfolio selection with uncertain exit time: A robust CVaR approach
Journal of Economic Dynamics and Control
·
2007
·
4 authors
·
Open access
81
citations
A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming
IIE Transactions
·
2005
·
4 authors
58
citations
Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
IEEE Transactions on Automatic Control
·
2004
·
3 authors
167
citations
A class of linear interval programming problems and its application to portfolio selection
IEEE Transactions on Fuzzy Systems
·
2002
·
5 authors
161
citations
On Fuzzy Portfolio Selection Problems
Fuzzy Optimization and Decision Making
·
2002
·
2 authors
134
citations