Weiping Wu

Fuzhou University - School of Economics and Management

No. 2, Xueyuan Road, New District

No. 2, Xueyuan Road, New District

Fuzhou , Fujian 350108

China

SCHOLARLY PAPERS

3

DOWNLOADS

202

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Constrained Optimal Execution in Limit Order Book Market with Power-shaped Market Depth

Number of pages: 35 Posted: 30 Mar 2021 Last Revised: 04 Nov 2023
Shanghai Jiao Tong University, Shanghai University of Finance and Economics - School of Information Management and Engineering, Fuzhou University - School of Economics and Management and affiliation not provided to SSRN
Downloads 100 (493,572)

Abstract:

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Optimal Execution, Limit Order Book, Market Depth, Constraints

2.

Mean-Variance Hybrid Portfolio Optimization with Quantile-Based Risk Measure

Number of pages: 35 Posted: 12 Feb 2021 Last Revised: 03 Apr 2023
Weiping Wu, Yu Lin, Jianjun Gao and Ke Zhou
Fuzhou University - School of Economics and Management, Fuzhou University, Shanghai Jiao Tong University and Hunan University - Business School
Downloads 80 (567,538)

Abstract:

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Portfolio optimization; Dynamic mean-variance portfolio selection; Multiple risk measures; Spectral risk measure; Value-at-risk

3.

Responsible Investing: A Multi-period Portfolio Selection Model

Number of pages: 37 Posted: 01 May 2024
Chengneng Jin, Weiping Wu and Jinyan Xie
Shanghai University of Finance and Economics - School of Information Management and Engineering, Fuzhou University - School of Economics and Management and Shanghai University of Finance and Economics
Downloads 22 (942,869)

Abstract:

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Mean-Variance Portfolio Selection, Dynamic Portfolio Optimization, Progressive Hedging Algorithm, ESG, Conditional Value-at-Risk