A5083515697- Risk and Portfolio Optimization
- Optimization and Variational Analysis
- Stochastic processes and financial applications
- Viral gastroenteritis research and epidemiology
- Animal Virus Infections Studies
- Advanced Optimization Algorithms Research
- Insurance, Mortality, Demography, Risk Management
- Multi-Criteria Decision Making
- Financial Markets and Investment Strategies
- Virus-based gene therapy research
- Fuzzy Systems and Optimization
- Mathematical Approximation and Integration
- Capital Investment and Risk Analysis
- Dengue and Mosquito Control Research
- Matrix Theory and Algorithms
- Numerical Methods and Algorithms
- Viral Infections and Vectors
- Economic theories and models
- Advanced Algorithms and Applications
- Mosquito-borne diseases and control
- Metaheuristic Optimization Algorithms Research
- Probabilistic and Robust Engineering Design
- Point processes and geometric inequalities
- Plant Virus Research Studies
- Optimization and Mathematical Programming
Southwest Minzu University
2013-2021
Hunan University
2015
Sichuan University
2009-2013
Guangdong Province Special Equipment Testing and Research Institute Zhuhai Testing Institute
2008
Entry Exit Inspection and Quarantine Bureau
2008
We consider a vector variational inequality in finite-dimensional space. A new gap function is proposed, and an equivalent optimization problem for the also provided. Under some suitable conditions, we prove that directionally differentiable any point satisfying first-order necessary optimality condition solves inequality. As application, use to reformulate stochastic as deterministic problem. solve this by employing sample average approximation method. The convergence of optimal solutions...
SUMMARY We determined the genetic relationships and origin of dengue virus (DENV) responsible for an outbreak fever (DF) in Guangdong province, China, 2006. Five DENV type 1 (DENV-1) isolates were obtained from human serum samples collected DF patients during outbreak. The nucleotide sequences E (envelope) gene compared with those 48 previous DENV-1 isolates: 18 one Fujian Zhejiang 28 other countries South Asian region. results suggested that four identified province 2006 might be general...
We consider a continuous-time mean-variance asset-liability management problem in market with random parameters; that is, interest rate, appreciation rates, and volatility rates are considered to be stochastic processes. By using the theories of linear-quadratic (LQ) optimal control backward differential equations (BSDEs), we tackle this derive investment strategies as well efficient frontier analytically terms solution BSDEs. find is still parabola parameters. Comparing existing results,...
This paper studies the optimal time consistent investment strategies in multiperiod asset-liability management problems under mean-variance criterion. By applying model of Chen et al. (2013) and employing dynamic programming technique, we derive two-time policies for a market with without riskless asset, respectively. We show that presence liability does affect strategy. More specifically, leads parallel shift time-consistent policy. Moreover, an arbitrarily risk averse investor (under...
This paper is concerned with solving a stochastic variational inequality problem (for short, SVIP) from viewpoint of minimization mixed conditional value-at-risk (CVaR). The regularized gap function for SVIP used to define loss the and CVaR measure loss. In this setting, can be reformulated as deterministic problem. We show that reformulation convex program huge class under suitable conditions. Since involves plus mathematical expectation, neural network smoothing Monte Carlo method are...
We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim this paper is to derive an optimal strategy and efficient frontier. problem formulated as linearly constrained convex program problem. By employing Lagrange multiplier method stochastic control theory, we obtain frontier analytically. results show that still parabola in plane, strategies depend not only on total wealth but also price....
In this paper, we consider CVaR-based formulation and approximation method proposed by Chen Lin [5] for a class of stochastic variational inequality problems (for short, SVIP).Different from the work mentioned above, regard regularized gap function SVIP as loss SVIPs obtain restrained deterministic minimization reformulation SVIPs.We show that is convex program wider than in [5].Furthermore, using smoothing techniques Monte Carlo method, get an problem convergence optimal solutions...
We consider the expected residual minimization method for a class of stochastic quasivariational inequality problems (SQVIP). The regularized gap function problem (QVIP) is in general not differentiable. first show that differentiable and convex QVIPs under some suitable conditions. Then, we reformulate SQVIP as deterministic minimizes solve it by sample average approximation (SAA) method. Finally, investigate limiting behavior optimal solutions stationary points.
The future returns of each securities cannot be correctly reflected by the data in past, there for expert's judgement and experience should considered to estimate security future. In this paper, we study mean-semi absolute deviation portfolio selection problem when both expected return semi underlying asset vary estimated intervals. By using two-phase approach, solve get optimal solution. Finally, an example is given illustrate our results.