Shushang Zhu (朱书尚)
Shushang Zhu (朱书尚)
Professor, Sun Yat-Sen Business School, Sun Yat-Sen University
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Cited by
Cited by
Worst-case conditional value-at-risk with application to robust portfolio management
S Zhu, M Fukushima
Operations research 57 (5), 1155-1168, 2009
Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation
SS Zhu, D Li, SY Wang
Automatic Control, IEEE Transactions on 49 (3), 447-457, 2004
A class of linear interval programming problems and its application to portfolio selection
KK Lai, SY Wang, JP Xu, SS Zhu, Y Fang
Fuzzy Systems, IEEE Transactions on 10 (6), 698-704, 2002
On fuzzy portfolio selection problems
S Wang, S Zhu
Fuzzy Optimization and Decision Making 1 (4), 361-377, 2002
Better than Dynamic Mean‐Variance: Time Inconsistency and Free Cash Flow Stream
X Cui, D Li, S Wang, S Zhu
Mathematical Finance 22 (2), 346-378, 2012
Portfolio selection under distributional uncertainty: A relative robust CVaR approach
D Huang, S Zhu, FJ Fabozzi, M Fukushima
European Journal of Operational Research 203 (1), 185-194, 2010
Portfolio selection with uncertain exit time: A robust CVaR approach
D Huang, SS Zhu, FJ Fabozzi, M Fukushima
Journal of Economic Dynamics and Control 32 (2), 594-623, 2008
Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
XT Cui, XJ Zheng, SS Zhu, XL Sun
Journal of Global Optimization 56 (4), 1409-1423, 2013
A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming
X Ji, S Zhu, S Wang, S Zhang
IIE Transactions 37 (10), 957-969, 2005
Robust portfolio selection under downside risk measures
S Zhu, D Li, S Wang
Quantitative Finance 9 (7), 869-885, 2009
Nonlinear portfolio selection using approximate parametric Value-at-Risk
X Cui, S Zhu, X Sun, D Li
Journal of Banking & Finance 37 (6), 2124-2139, 2013
朱书尚, 李端, 周迅宇, 汪寿阳
管理科学学报 7 (6), 1-10, 2004
Portfolio selection with marginal risk control
S Zhu, D Li, X Sun
Journal of Computational Finance 14 (1), 3, 2010
Portfolio management with robustness in both prediction and decision: A mixture model based learning approach
S Zhu, M Fan, D Li
Journal of Economic Dynamics and Control 48, 1-25, 2014
朱书尚, 曹世勇, 邹潇湘
系统工程 17 (002), 62-65, 1999
Optimality conditions and geometric properties of a linear multilevel programming problem with dominated objective functions
GZ Ruan, SY Wang, Y Yamamoto, SS Zhu
Journal of optimization theory and applications 123 (2), 409-429, 2004
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Z Kang, X Li, Z Li, S Zhu
Quantitative Finance 19 (1), 105-121, 2019
A robust set-valued scenario approach for handling modeling risk in portfolio optimization
S Zhu, X Ji, D Li
Journal of Computational Finance 19 (1), 11-40, 2015
Factor-risk-constrained mean-variance portfolio selection: formulation and global optimization solution approach
S Zhu, X Cui, X Sun, D Li
The Journal of Risk 14 (2), 51, 2011
Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
Y Li, S Zhu, D Li, D Li
European Journal of Operational Research 228 (3), 556-570, 2013
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