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Shushang Zhu

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2020 – today

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2024
[j14]
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  - journals/anor/WeiHLZ24
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Jinxiang Wei, Zhaolin Hu, Jun Luo, Shushang Zhu:
Enhanced branch-and-bound algorithm for chance constrained programs with Gaussian mixture models. Ann. Oper. Res. 338(2): 1283-1315 (2024)
[j13]
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  - journals/jossac/MaZL24
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Jiali Ma, Shushang Zhu, Duan Li:
Measuring Financial Systemic Risk: Net Liability Clearing Mechanism and Contagion Effect. J. Syst. Sci. Complex. 37(3): 1114-1146 (2024)

2010 – 2019

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2019
[j12]
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Xiangyu Cui, Jianjun Gao, Yun Shi, Shushang Zhu:
Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection. Eur. J. Oper. Res. 276(2): 781-789 (2019)
2018
[j11]
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  - journals/informs/CuiSZJL18
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Xueting Cui, Xiaoling Sun, Shushang Zhu, Rujun Jiang, Duan Li:
Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method. INFORMS J. Comput. 30(3): 454-471 (2018)
2016
[j10]
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Xiaodong Ji, Shushang Zhu:
The convergence of set-valued scenario approach for downside risk minimization. J. Syst. Sci. Complex. 29(3): 722-735 (2016)
[j9]
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Xueting Cui, Shushang Zhu, Duan Li, Jie Sun:
Mean-variance portfolio optimization with parameter sensitivity control. Optim. Methods Softw. 31(4): 755-774 (2016)
2013
[j8]
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Yingjie Li, Shushang Zhu, Donghui Li, Duan Li:
Active allocation of systematic risk and control of risk sensitivity in portfolio optimization. Eur. J. Oper. Res. 228(3): 556-570 (2013)
[j7]
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  - journals/jgo/CuiZZS13
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Xueting Cui, Xiaojin Zheng, Shushang Zhu, Xiaoling Sun:
Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems. J. Glob. Optim. 56(4): 1409-1423 (2013)
2010
[j6]
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  - journals/eor/HuangZFF10
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Dashan Huang, Shushang Zhu, Frank J. Fabozzi, Masao Fukushima:
Portfolio selection under distributional uncertainty: A relative robust CVaR approach. Eur. J. Oper. Res. 203(1): 185-194 (2010)

2000 – 2009

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2009
[j5]
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  - journals/ior/ZhuF09
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Shushang Zhu, Masao Fukushima:
Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management. Oper. Res. 57(5): 1155-1168 (2009)
2004
[j4]
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  - journals/tac/ZhuLW04
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Shushang Zhu, Duan Li, Shouyang Wang:
Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation. IEEE Trans. Autom. Control. 49(3): 447-457 (2004)
2002
[j3]
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  - journals/fodm/WangZ02
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Shouyang Wang, Shushang Zhu:
On Fuzzy Portfolio Selection Problems. Fuzzy Optim. Decis. Mak. 1(4): 361-377 (2002)
[j2]
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  - journals/tfs/LaiWXZF02
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Kin Keung Lai, Shouyang Wang, Jiuping Xu, Shushang Zhu, Yong Fang:
A class of linear interval programming problems and its application to portfolio selection. IEEE Trans. Fuzzy Syst. 10(6): 698-704 (2002)
2001
[j1]
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  - journals/appml/ZhuWC01
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Shushang Zhu, Shouyang Wang, Luis Coladas:
Two theorems on multilevel programming problems with dominated objective functions. Appl. Math. Lett. 14(8): 927-932 (2001)

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