Ke Zhou

Hunan University - Business School

Changsha, Hunan 410082

China

  • Hunan University - Business School

SCHOLARLY PAPERS

3

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130

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1

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Scholarly Papers (3)

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1.

Dynamic Mean-VaR Portfolio Selection in Continuous Time

Number of pages: 27 Posted: 07 Jun 2016
Ke Zhou, Jianjun Gao, Duan Li and Xiangyu Cui
Hunan University - Business School, Shanghai University of Finance and Economics, Chinese University of Hong Kong and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 126 (260,966)
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Dynamic portfolio selection, Value-at-risk, Quantile Method

2.

Dynamic mean-variance portfolio optimization with Value-at-Risk constraint in continuous-time

Number of pages: 27
Dian Yu, Weiping Wu, Ke Zhou, Jianjun Gao and Junguo Lu
affiliation not provided to SSRN, Fuzhou University - School of Economics and Management, Hunan University - Business School, Shanghai University of Finance and Economics and Shanghai Jiao Tong University (SJTU) - Department of Automation
Downloads 3 (723,597)

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Dynamic mean-variance portfolio selection, Value-at-risk, Martingale approach, Dynamic portfolio optimization

3.

Dynamic Mean-Downside Risk Portfolio Selection Problem with Stochastic Interest Rate in Continuous-Time

Number of pages: 22
Weiping Wu, Jianjun Gao, Ke Zhou and zhenpeng tang
Fuzhou University - School of Economics and Management, Shanghai University of Finance and Economics, Hunan University - Business School and affiliation not provided to SSRN
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Dynamic portfolio selection, stochastic interest rate, Vasicek model, lower-partial moments, value-at-risk, conditional value-at-risk