Yang Li

Li Yang

Information about the author Li Yang will soon be added to the site.
Found 5 papers in total
Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?
Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?
2015
This paper investigates out‐of‐sample performance of the naïve...
A homotopy method for nonlinear semidefinite programming
A homotopy method for nonlinear semidefinite programming
2013
In this paper, for solving the nonlinear semidefinite programming problem, a homotopy...
Tail nonlinearly transformed risk measure and its application
Tail nonlinearly transformed risk measure and its application
2012
This paper discusses risk measurement and portfolio selection under the...
Postoptimality for mean‐risk stochastic mixed‐integer programs and its application
Postoptimality for mean‐risk stochastic mixed‐integer programs and its application
2011
The mean‐risk stochastic mixed‐integer programs can better model complex...
A newsboy model with budget cost constraints
A newsboy model with budget cost constraints
2004
The present paper covers the newsboy model with budget cost constraint. The...
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