学术论文
- Zhihua Allen-Zhao, Shen Peng, Sanyang Liu. Distributionally Robust CVaR Optimization for Portfolio Rebalancing with Mixed-sparse Constraints, working paper.
- Jiayi Lu, Zhihua Allen-Zhao, Shen Peng, Sanyang Liu. Sparse green asset allocation with higher-order moments in an uncertain and random market environment, working paper.
- Xinrong Zhang, Zhihua Allen-Zhao, Shen Peng, Sanyang Liu. An Efficient Optimization Approach for A Cardinality-constrained Portfolio Selection with Higher-order Moments, working paper.
- Zhihua Allen-Zhao, Shen Peng, Sanyang Liu. On the Sparsity and Ambiguity of Portfolio Rebalancing Optimization: An Accelerated ADMM Approach, working paper.
- Zhihua Allen-Zhao, Fengmin Xu, Yuhong Dai, Sanyang Liu. WCVaR-based enhanced indexation optimization with weighted $\ell_{\infty, 1}$-norm constraint, Computers & Operations Research, 2023. https://doi.org/10.1016/j.cor.2023.106420.
- Shen Peng, Gianpiero Canessa, Zhihua Allen-Zhao. Chance constrained conic-segmentation support vector machine with uncertain data, Annals of Mathematics and Artificial Intelligence, 2023. https://doi.org/10.1007/s10472-022-09822-1.
- Zhihua Zhao, Fengmin Xu, Donglei Du, Meihua Wang. Robust portfolio rebalancing with cardinality and diversification constraints, Quantitative Finance, 2021, 21(10): 1707-1721.
- Zhihua Zhao, Hao Wang, Xiangyu Yang, Fengmin Xu. CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints, Applied Economics Letters, 2020, 28(3): 201-207.
- Fengmin Xu, Yu-Hong Dai, Zhihua Zhao, Zongben Xu. Efficient projected gradient methods for cardinality constrained optimization, Science China-Mathematics, 2019, 62(2): 245-268.
- Zhihua Zhao, Fengmin Xu, Meihua Wang, Cheng-Yi Zhang. A sparse enhanced indexation model with L1/2 norm and its alternating quadratic penalty method, Journal of the Operational Research Society, 2018, 70(3): 433-445.
- Zhihua Zhao, Fengmin Xu, Xiangyang Li. Adaptive projected gradient thresholding methods for constrained L0 problems, Science China-Mathematics, 2015, 58(10): 2205-2224.
- Juntao Li, Yingmin Jia, Zhihua Zhao. Partly Adaptive Elastic Net and Its Application to Microarray Classification. Neural Computing and Applications, 2013, 22(6): 1193-1200.