Volume 6, Issue 1 | Journal of the Operations Research Society of China

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Volume 6, Issue 1

March 2018

Special Issue: New challenges in Financial Optimization and Risk Management

Issue Editors:

Xiao-Guang Yang,
Shu-Shang Zhu

10 articles in this issue

Preface: Special Issue on New Challenges in Financial Optimization and Risk Management
Xiao-Guang Yang
Shu-Shang Zhu
EditorialNotes 13 March 2018 Pages: 1 - 2
Incorporating Convexity in Bond Portfolio Immunization Using Multifactor Model: A Semidefinite Programming Approach
Wei Zhu
Cai-Hong Zhang
Shu-Shang Zhu
OriginalPaper 20 February 2018 Pages: 3 - 23
Valuation of American Strangles Through an Optimized Lower–Upper Bound Approach
Jing-Tang Ma
Wen-Yuan Li
Zhen-Yu Cui
OriginalPaper 07 August 2017 Pages: 25 - 47
Core of the Reinsurance Market with Dependent Risks
Jia-Hua Zhang
Shu-Cherng Fang
Yi-Fan Xu
OriginalPaper 07 August 2017 Pages: 49 - 57
Robust Valuation, Arbitrage Ambiguity and Profit & Loss Analysis
Yu-Hong Xu
OriginalPaper 15 December 2017 Pages: 59 - 83
Extra Resource Allocation: A DEA Approach in the View of Efficiencies
Meng Zhang
Li-Li Wang
Jin-Chuan Cui
OriginalPaper 30 January 2018 Pages: 85 - 106
Optimal Portfolio and Consumption Rule with a CIR Model Under HARA Utility
Chun-Feng Wang
Hao Chang
Zhen-Ming Fang
OriginalPaper 16 January 2018 Pages: 107 - 137
Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection
Jia Liu
Zhi-Ping Chen
Yong-Chang Hui
OriginalPaper 30 January 2018 Pages: 139 - 158
Explicit Solution for Constrained Optimal Execution Problem with General Correlated Market Depth
Wei-Ping Wu
Jian-Jun Gao
OriginalPaper 01 March 2018 Pages: 159 - 174
Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion
Liu-Meng Peng
Xiang-Yu Cui
Yun Shi
OriginalPaper 02 March 2018 Pages: 175 - 188