Ran Ji

George Mason University

Assistant Professor

Fairfax, VA

United States

SCHOLARLY PAPERS

4

DOWNLOADS

640

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Data-Driven Optimization of Reward-Risk Ratio Measures

Number of pages: 36 Posted: 23 Dec 2015 Last Revised: 23 Feb 2020
Ran Ji and Miguel Lejeune
George Mason University and George Washington University
Downloads 295 (135,393)
Citation 4

Abstract:

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Data-Driven Optimization, Distributionally Robust Optimization, Reward-Risk Ratio, Risk-Adjusted Return Financial Measure, Wasserstein Metric, Ambiguous Expectation Constraint

2.

Data-Driven Distributionally Robust Chance-Constrained Optimization With Wasserstein Metric

Number of pages: 36 Posted: 14 Jul 2018 Last Revised: 23 Feb 2020
Ran Ji and Miguel Lejeune
George Mason University and George Washington University
Downloads 200 (196,531)
Citation 5

Abstract:

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Distributionally Robust Optimization, Chance-Constrained Programming, Wasserstein Metric

3.

Distributionally Robust Portfolio Optimization with Linearized STARR Performance Measure

Number of pages: 28 Posted: 18 Mar 2020 Last Revised: 24 Sep 2021
George Mason University, George Washington University and George Mason University
Downloads 117 (307,766)

Abstract:

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Distributionally Robust Optimization, STARR Performance Measure, Wasserstein Metric, Conditional Value-at-Risk

4.

A Distributionally Robust Chance-Constrained Model for Humanitarian Relief Network Design

Number of pages: 36 Posted: 24 Sep 2021 Last Revised: 13 Dec 2021
George Mason University - The Volgenau School of Information Technology and Engineering, George Mason University and affiliation not provided to SSRN
Downloads 28 (603,109)

Abstract:

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Distributionally Robust Optimization, Chance-Constrained Programming, Humanitarian Relief Network, Network Reliability