Minjie Fan

University of California, Davis - Department of Statistics

One Shields Ave

Mathematical Sciences Building

Davis, CA 95616

United States

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Scholarly Papers (1)

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Portfolio Management with Dual Robustness in Prediction and Optimization: A Mixture Model Based Learning Approach

Number of pages: 40 Posted: 05 Sep 2013
Shushang Zhu, Minjie Fan and Duan Li
Sun Yat-Sen University (SYSU), University of California, Davis - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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Abstract:

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Portfolio selection, Mixture model, Robust optimization, Bayesian learning, Conditional Value-at-Risk