Shushang Zhu

Publication Activity (10 Years)

Years Active: 2001-2024
Publications (10 Years): 6

Top Topics

Financial Markets

Gaussian Mixture Model

Portfolio Optimization

Top Venues

J. Syst. Sci. Complex.

Ann. Oper. Res.

INFORMS J. Comput.

Optim. Methods Softw.

Publications

Jinxiang Wei, Zhaolin Hu, Jun Luo, Shushang Zhu
Enhanced branch-and-bound algorithm for chance constrained programs with Gaussian mixture models. Ann. Oper. Res. 338 (2) (2024)
Jiali Ma, Shushang Zhu, Duan Li
Measuring Financial Systemic Risk: Net Liability Clearing Mechanism and Contagion Effect. J. Syst. Sci. Complex. 37 (3) (2024)
Xiangyu Cui, Jianjun Gao, Yun Shi, Shushang Zhu
Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection. Eur. J. Oper. Res. 276 (2) (2019)
Xueting Cui, Xiaoling Sun, Shushang Zhu, Rujun Jiang, Duan Li
Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method. INFORMS J. Comput. 30 (3) (2018)
Xueting Cui, Shushang Zhu, Duan Li, Jie Sun
Mean-variance portfolio optimization with parameter sensitivity control. Optim. Methods Softw. 31 (4) (2016)
Xiaodong Ji, Shushang Zhu
The convergence of set-valued scenario approach for downside risk minimization. J. Syst. Sci. Complex. 29 (3) (2016)
Yingjie Li, Shushang Zhu, Donghui Li, Duan Li
Active allocation of systematic risk and control of risk sensitivity in portfolio optimization. Eur. J. Oper. Res. 228 (3) (2013)
Xueting Cui, Xiaojin Zheng, Shushang Zhu, Xiaoling Sun
Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems. J. Glob. Optim. 56 (4) (2013)
Dashan Huang, Shushang Zhu, Frank J. Fabozzi, Masao Fukushima
Portfolio selection under distributional uncertainty: A relative robust CVaR approach. Eur. J. Oper. Res. 203 (1) (2010)
Shushang Zhu, Masao Fukushima
Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management. Oper. Res. 57 (5) (2009)
Shushang Zhu, Duan Li, Shouyang Wang
Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation. IEEE Trans. Autom. Control. 49 (3) (2004)
Shouyang Wang, Shushang Zhu
On Fuzzy Portfolio Selection Problems. Fuzzy Optim. Decis. Mak. 1 (4) (2002)
Kin Keung Lai, Shouyang Wang, Jiuping Xu, Shushang Zhu, Yong Fang
A class of linear interval programming problems and its application to portfolio selection. IEEE Trans. Fuzzy Syst. 10 (6) (2002)
Shushang Zhu, Shouyang Wang, Luis Coladas
Two theorems on multilevel programming problems with dominated objective functions. Appl. Math. Lett. 14 (8) (2001)