| Worst-case conditional value-at-risk with application to robust portfolio management S Zhu, M Fukushima Operations Research 57 (5), 1155-1168, 2009 | 738 | 2009 |
| Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation SS Zhu, D Li, SY Wang Automatic Control, IEEE Transactions on 49 (3), 447-457, 2004 | 227 | 2004 |
| A class of linear interval programming problems and its application to portfolio selection KK Lai, SY Wang, JP Xu, SS Zhu, Y Fang Fuzzy Systems, IEEE Transactions on 10 (6), 698-704, 2002 | 203 | 2002 |
| On fuzzy portfolio selection problems S Wang, S Zhu Fuzzy Optimization and Decision Making 1 (4), 361-377, 2002 | 187 | 2002 |
| Portfolio selection under distributional uncertainty: A relative robust CVaR approach D Huang, S Zhu, FJ Fabozzi, M Fukushima European Journal of Operational Research 203 (1), 185-194, 2010 | 164 | 2010 |
| Better than Dynamic Mean‐Variance: Time Inconsistency and Free Cash Flow Stream X Cui, D Li, S Wang, S Zhu Mathematical Finance 22 (2), 346-378, 2012 | 153 | 2012 |
| Portfolio selection with uncertain exit time: A robust CVaR approach D Huang, SS Zhu, FJ Fabozzi, M Fukushima Journal of Economic Dynamics and Control 32 (2), 594-623, 2008 | 120 | 2008 |
| Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems XT Cui, XJ Zheng, SS Zhu, XL Sun Journal of Global Optimization 56 (4), 1409-1423, 2013 | 107 | 2013 |
| Data-driven robust mean-CVaR portfolio selection under distribution ambiguity Z Kang, X Li, Z Li, S Zhu Quantitative Finance 19 (1), 105-121, 2019 | 74 | 2019 |
| Robust portfolio selection under downside risk measures S Zhu, D Li, S Wang Quantitative Finance 9 (7), 869-885, 2009 | 73 | 2009 |
| A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming X Ji, S Zhu, S Wang, S Zhang IIE Transactions 37 (10), 957-969, 2005 | 69 | 2005 |
| Nonlinear portfolio selection using approximate parametric Value-at-Risk X Cui, S Zhu, X Sun, D Li Journal of Banking & Finance 37 (6), 2124-2139, 2013 | 58 | 2013 |
| Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection X Cui, J Gao, Y Shi, S Zhu European journal of operational research 276 (2), 781-789, 2019 | 40 | 2019 |
| Portfolio selection with marginal risk control S Zhu, D Li, X Sun Journal of Computational Finance 14 (1), 3, 2010 | 40 | 2010 |
| 论投资组合与金融优化 朱书尚， 李端， 周迅宇， 汪寿阳 管理科学学报 7 (6), 1-10, 2004 | 34 | 2004 |
| Portfolio optimization with nonparametric value at risk: A block coordinate descent method X Cui, X Sun, S Zhu, R Jiang, D Li INFORMS Journal on Computing 30 (3), 454-471, 2018 | 33 | 2018 |
| Portfolio management with robustness in both prediction and decision: A mixture model based learning approach S Zhu, M Fan, D Li Journal of Economic Dynamics and Control 48, 1-25, 2014 | 30 | 2014 |
| Active allocation of systematic risk and control of risk sensitivity in portfolio optimization Y Li, S Zhu, D Li, D Li European Journal of Operational Research 228 (3), 556-570, 2013 | 26 | 2013 |
| Chance constrained programs with Gaussian mixture models Z Hu, W Sun, S Zhu IISE Transactions 54 (12), 1117-1130, 2022 | 21 | 2022 |
| Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue JL Ma, SS Zhu, Y Wu Quantitative Finance 21 (5), 753-770, 2021 | 21 | 2021 |
Duan LiCity University of Hong Kong + The Chinese University of Hong Kong + University of VirginiaVerified email at cityu.edu.hk
