师资队伍

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朱冬梅

发布时间:2023-11-10访问量:164

(1) D. M. Zhu, H. Zheng , Effective approximation methods for constrained utility maximization with drift uncertainty, J Optimization, Theory Applications, (2022) 194, 191-219. 

(2) D.M. Zhu, J.W. Gu, F.H. Yu, T.K. Siu, W.K. Ching, Optimal pairs trading with dynamic mean-variance objective, Mathematical Methods of Operations Research, (2021) 94: 145-168.

(3) D.M. Zhu, J.W. Gu, F.H. YU, W.K. Ching, T.K. Siu, How correlation risk in basket credit derivatives might be priced and managed? IMA Journal of Management Mathematics, (2021) 32(2): 195-219.

(4) D.M. Zhu, J.J. Lu, W.K. Ching, T.K. Siu, Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model. Economic Modelling, (2017) 66: 223-232.

(5) D.M. Zhu,W.K.Ching,R.J.Elliott,T.K.Siu and L.Zhang,Hidden Markov models with threshold effects and their applications to oil price forecasting, Journal of Industrial and Management Optimization, (2017)13(2):757-773.

(6) D.M. Zhu,Y.Xie,W.K.Ching, T.K.Siu,Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model, Automatica, (2016)74:194-205.



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