The skewness of oil price returns and equity premium predictability
作者：
Dai, Zhifeng;Zhou, Huiting;Kang, Jie;Wen, Fenghua*
期刊：
Energy Economics ,2021年94:105069 ISSN：0140-9883
通讯作者：
Wen, Fenghua
作者机构：
[Zhou, Huiting; Dai, Zhifeng; Kang, Jie] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.;[Wen, Fenghua] Cent South Univ, Coll Business, Changsha 410083, Hunan, Peoples R China.
通讯机构：
[Wen, Fenghua] C;Cent South Univ, Coll Business, Changsha 410083, Hunan, Peoples R China.
关键词：
Asset allocation;Economic constraints;Equity premium predictability;Skewness
摘要：
We show that the three-order moment of oil price returns can predict the aggregate stock market returns. Empirical results indicate the stock market returns forecasts generated by the skewness of oil price returns are statistically and economically significant for out-of-sample performance. We add the skewness of oil price returns as an additional predictor into the univariate macro model, and obtain greater forecast gains. When using multivariate information method, this prediction improvement also exists. Strong evidence demonstrates that the forecasting power is higher in recession. In addition, our finding is robust when considering alternative aversion coefficient and transaction cost. © 2020 Elsevier B.V.
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Bond yield and crude oil prices predictability
作者：
Dai, Zhifeng;Kang, Jie
期刊：
Energy Economics ,2021年97:105205 ISSN：0140-9883
通讯作者：
Dai, Zhifeng(zhifengdai823@163.com)
作者机构：
[Dai, Zhifeng; Kang, Jie] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.
通讯机构：
[Zhifeng Dai] C;College of Mathematics and Statistics, Changsha University of Science and Technology, Hunan 410114, China
关键词：
Asset allocation;Bond yield;Oil prices predictability;Out-of-sample forecasting;Predictive regression
摘要：
Using long-term government bond yield (LTY), corporate bond yields spread (DFY) and Treasury bill rate (TBL) as the proxies, we find bond yield can effectively predict WTI and Brent spot prices. In-sample analysis indicates that bond yield variables have substantial explanatory power on oil returns, and there are significant Granger causality relationships from LTY and DFY to oil returns. In out-of-sample forecast, bond yield variables defeat historical average benchmark as well as the competing predictors from both statistical and economic perspectives. Moreover, the predictive abilities of bond yield variables can be tremendously enhanced with multivariate prediction methods. We prove that the prediction power of bond yield variables partially stems from their abilities on capturing oil market sentiment. Our findings survive a series of robustness checks. © 2021 Elsevier B.V.
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An Adaptive Three-Term Conjugate Gradient Method with Sufficient Descent Condition and Conjugacy Condition
作者：
Xiao-Liang Dong* ;Zhi-Feng Dai;Reza Ghanbari;Xiang-Li Li
期刊：
中国运筹学学会学报(英文) ,2021年9(2):411-425 ISSN：2194-668X
通讯作者：
Xiao-Liang Dong
作者机构：
School of Mathematics and Information, North Minzu University, Yinchuan, China;School of Mathematics Science, Nanjing Normal University, Nanjing, China;College of Mathematics and Statistics, Changsha University of Science and Technology, Changsha, China;[Ghanbari R.] Department of Mathematical Science, Ferdowsi University of Mashhad, Mashhad, Iran;School of Mathematics and Computing Science, Guilin University of Electronic Technology, Guilin, China
通讯机构：
[Xiao-Liang Dong] S;School of Mathematics and Information, North Minzu University, Yinchuan, China<&wdkj&>School of Mathematics Science, Nanjing Normal University, Nanjing, China
关键词：
Numerical methods;Conjugacy conditions;Descent directions;Global conver-gence;Numerical experimentations;Sufficient descent conditions;Test problem;Three-term;Unconstrained problems;Conjugate gradient method
摘要：
In this paper, an adaptive three-term conjugate gradient method is proposed for solving unconstrained problems, which generates sufficient descent directions at each iteration. Different from the existent methods, a dynamical adjustment between Hestenes–Stiefel and Dai–Liao conjugacy conditions in our proposed method is developed. Under mild condition, we show that the proposed method converges globally. Numerical experimentation with the new method indicates that it efficiently solves the test problems and therefore is promising. © 2019, Operations Research Society of China, Periodicals Agency of Shanghai University, Science Press, and Springer-Verlag GmbH Germany, part of Springer Nature.
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Indicator selection and stock return predictability
作者：
Dai, Zhifeng;Zhu, Huan
期刊：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE ,2021年57:101394 ISSN：1062-9408
作者机构：
[Dai, Zhifeng; Zhu, Huan] College of Mathematics and Statistics, Changsha University of Science and Technology, Hunan, 410114, China
摘要：
We propose a momentum-determined indicator-switching (MDIS) strategy, simple and effective, to improve the predictability of stock returns, which can effectively select predictors. Empirical results indicate that the stock return forecasts generated by the MDIS strategy are statistically and economically significant. And we find that super long-term momentum of predictability (SMoP) exists in predictive factors. That is, in a long period of time in the past, the best predictor among a series of factors has best prediction ability in the future. We also design restricted momentum-determined indicator-switching (RMDIS) strategy when considering economic constrain. It is robust for the prediction performance of this strategy using a series of extension and robustness test. Success of the RMDIS strategy is also seen in using technical indicators to forecast stock returns. © 2021 Elsevier Inc.
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New technical indicators and stock returns predictability
作者：
Dai, Zhifeng* ;Zhu, Huan;Kang, Jie
期刊：
International Review of Economics & Finance ,2021年71:127-142 ISSN：1059-0560
通讯作者：
Dai, Zhifeng
作者机构：
[Dai, Zhifeng; Zhu, Huan; Kang, Jie] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Peoples R China.
关键词：
New technical indicators;De-noise;In-sample forecast;Out-of-sample forecast;Economic significance
摘要：
We find that combining de-noising stock returns by wavelet transform with new proposed technical indicators can significantly improve the accuracy of stock returns forecasts, in which the new technical indicators can directly reflect the trend of stock returns series. Empirical results indicate the stock returns forecasts generated by new technical indicators are statistically and economically significant both in-sample and out-of-sample prediction performance. And when multivariate information is used to predict stock returns, its predictability is also significant. In addition, it is robust for the prediction performance of new indicators using some extension and robustness analysis. © 2020 Elsevier Inc.
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PREDICTION OF STOCK RETURNS: SUM-OF-THE-PARTS METHOD AND ECONOMIC CONSTRAINT METHOD
作者：
Dai, Zhifeng* ;Zhou, Huiting
期刊：
Sustainability ,2020年12(2):541 ISSN：2071-1050
通讯作者：
Dai, Zhifeng
作者机构：
[Zhou, Huiting; Dai, Zhifeng] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.
关键词：
SOP method;economic constraint method;stock return predictability;out-of-sample forecast;asset allocation;C53;G11;G17
摘要：
<jats:p>Forecasting stock market returns has great significance to asset allocation, risk management, and asset pricing, but stock return prediction is notoriously difficult. In this paper, we combine the sum-of-the-parts (SOP) method and three kinds of economic constraint methods: non-negative economic constraint strategy, momentum of return prediction strategy, and three-sigma strategy to improve prediction performance of stock returns, in which the price-earnings ratio growth rate (gm) is predicted by economic constraint methods. Empirical results suggest that the stock return forecasts by proposed models are both statistically and economically significant. The predictions of proposed models are robust to various robustness tests.</jats:p>
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Efficient predictability of stock return volatility: The role of stock market implied volatility
作者：
Dai, Zhifeng;Zhou, Huiting;Wen, Fenghua* ;He, Shaoyi
期刊：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE ,2020年52:101174 ISSN：1062-9408
通讯作者：
Wen, Fenghua
作者机构：
[Zhou, Huiting; Dai, Zhifeng] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.;[Wen, Fenghua] Cent South Univ, Coll Business, Changsha 410083, Hunan, Peoples R China.;[Wen, Fenghua] Univ Windsor, Fac Engn, Supply Chain & Logist Optimizat Res Ctr, Windsor, ON, Canada.;[He, Shaoyi] Calif State Univ San Bernardino, Jack H Brown Coll Business & Publ Adm, San Bernardino, CA 92407 USA.;[Wen, Fenghua] Anhui Polytech Univ, Sch Math & Phys, Wuhu 241000, Peoples R China.
通讯机构：
[Wen, Fenghua] A;Anhui Polytech Univ, Sch Math & Phys, Wuhu 241000, Peoples R China.
关键词：
Stock volatility;Stock market implied volatility;Predictive regression;Out-of-sample performance
摘要：
This study examines the predictability of stock market implied volatility on stock volatility in five developed economies (the US, Japan, Germany, France, and the UK) using monthly volatility data for the period 2000 to 2017. We utilize a simple linear autoregressive model to capture predictive relationships between stock market implied volatility and stock volatility. Our in-sample results show there exists very significant Granger causality from stock market implied volatility to stock volatility. The out-of-sample results also indicate that stock market implied volatility is significantly more powerful for stock volatility than the oil price volatility in five developed economies. © 2020 Elsevier Inc.
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Forecasting Chinese industry return volatilities with RMB/USD exchange rate
作者：
Dai, Zhifeng* ;Zhu, Huan;Dong, Xiaodi
期刊：
Physica A-Statistical Mechanics and its Applications ,2020年539:122994 ISSN：0378-4371
通讯作者：
Dai, Zhifeng
作者机构：
[Dai, Zhifeng; Dong, Xiaodi; Zhu, Huan] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.;[Dai, Zhifeng] Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Hunan, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.
关键词：
Industry return volatility;RMB/USD exchange rate fluctuation;Prediction ability;Forecasting
摘要：
The purpose of this paper is to analyze whether the fluctuations of RMB/USD exchange rate can predict the Chinese industry return volatilities during post-financial crisis period. Our in-sample results show there is significant Granger causality from RMB/USD exchange rate fluctuations to China's industry return volatilities. The out-of-sample results also indicate the RMB/USD exchange rate fluctuations extracts significantly useful information from the predictors. Further analysis about the energy industry shows that simple linear regression is sufficient for capturing predictive relationships between RMB/USD exchange rate fluctuations and energy industry volatility. (C) 2019 Elsevier B.V. All rights reserved.
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Forecasting stock market volatility: the role of gold and exchange rate
作者：
Dai, Zhifeng* ;Zhou, Huiting;Dong, Xiaodi
期刊：
AIMS Mathematics ,2020年5(5):5094-5105 ISSN：2473-6988
通讯作者：
Dai, Zhifeng
作者机构：
[Zhou, Huiting; Dai, Zhifeng; Dong, Xiaodi] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.
关键词：
Exchange rate;Forecasting;Gold;Prediction ability;Stock return volatility
摘要：
The objective of our paper is to show that gold and exchange rate volatility is predictive of stock volatility from both in-sample and out-of-sample perspectives. There exists very significant predictability from gold and exchange rate volatility to Hang Seng Index (HSI) return volatility among in-sample results. The out-of-sample results demonstrate the gold and exchange rate volatility extracts significantly useful information for Hang Seng Index (HSI) return volatility. Furthermore, the performance of the predictive ability of gold and exchange rate volatility is robust during business cycles and incremental framework. © 2020, American Institute of Mathematical Sciences. All rights reserved.
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Forecasting stock market returns: New technical indicators and two-step economic constraint method
作者：
Dai, Zhifeng* ;Dong, Xiaodi;Kang, Jie;Hong, Lianying
期刊：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE ,2020年53:101216 ISSN：1062-9408
通讯作者：
Dai, Zhifeng
作者机构：
[Dai, Zhifeng; Dong, Xiaodi; Kang, Jie] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Peoples R China.;[Hong, Lianying] Hunan Normal Univ, Coll Business, Changsha 410081, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Peoples R China.
关键词：
Stock return predictability;Economic constraints;Out-of-sample forecast;Technical indicators;Asset allocation
摘要：
The goal of our paper is to improve the accuracy of stock return forecasts by combining new technical indicators and a new two-step economic constraint forecasting model. Empirical results indicate the stock return forecasts generated by new technical indicators and new economic constraint forecasting model is statistically and economically significant both in-sample and out-of-sample prediction performance. In addition, the prediction performance of new technical indicators and new economic constraint forecasting model is robust for some extension and robustness analysis. © 2020 Elsevier Inc.
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Forecasting Stock Market Volatility: A Combination Approach
作者：
Dai, Zhifeng* ;Zhou, Huiting;Dong, Xiaodi;Kang, Jie
期刊：
Discrete Dynamics in Nature and Society ,2020年2020:1-9 ISSN：1026-0226
通讯作者：
Dai, Zhifeng
作者机构：
[Zhou, Huiting; Dai, Zhifeng; Dong, Xiaodi; Kang, Jie] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.
摘要：
We find that combining two important predictors, stock market implied volatility and oil volatility, can improve the predictability of stock return volatility. We also document that the stock market implied volatility provides far more significant predictability than the oil volatility and other nonoil macroeconomic and financial variables. The empirical results show the "kitchen sink" combination approach that using two predictors jointly performs better than not only the univariate regression models which use oil volatility or stock market implied volatility separately but also convex combination of the individual forecasts. This improvement of predictability is also remarkable when we consider the business cycle. Furthermore, the robust test based on different lag lengths and different macroinformation shows that our forecasting strategy is efficient. © 2020 Zhifeng Dai et al.
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A modified hestenes-stiefel-type derivative-free method for large-scale nonlinear monotone equations
作者：
Dai, Zhifeng* ;Zhu, Huan
期刊：
Mathematics ,2020年8(2):168 ISSN：2227-7390
通讯作者：
Dai, Zhifeng
作者机构：
[Dai, Zhifeng; Zhu, Huan] Changsha Univ Sci & Technol, Coll Math & Computat Sci, Changsha 410114, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Computat Sci, Changsha 410114, Peoples R China.
关键词：
nonlinear equations;monotonicity property;projection method;global convergence
摘要：
The goal of this paper is to extend the modified Hestenes-Stiefel method to solve large-scale nonlinear monotone equations. The method is presented by combining the hyperplane projection method (Solodov, M.V.; Svaiter, B.F. A globally convergent inexact Newton method for systems of monotone equations, in: M. Fukushima, L. Qi (Eds.)Reformulation: Nonsmooth, Piecewise Smooth, Semismooth and Smoothing Methods, Kluwer Academic Publishers. 1998, 355-369) and the modified Hestenes-Stiefel method in Dai and Wen (Dai, Z.; Wen, F. Global convergence of a modified Hestenes-Stiefel nonlinear conjugate gradient method with Armijo line search. Numer Algor. 2012, 59, 79-93). In addition, we propose a new line search for the derivative-free method. Global convergence of the proposed method is established if the system of nonlinear equations are Lipschitz continuous and monotone. Preliminary numerical results are given to test the effectiveness of the proposed method. © 2020 by the authors.
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Two nonparametric approaches to mean absolute deviation portfolio selection model
作者：
Dai, Zhifeng;Zhu, Huan;Wen, Fenghua*
期刊：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION ,2020年16(5):2283-2303 ISSN：1547-5816
通讯作者：
Wen, Fenghua
作者机构：
[Dai, Zhifeng; Zhu, Huan] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Peoples R China.;[Dai, Zhifeng; Zhu, Huan] Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Peoples R China.;[Wen, Fenghua] Cent South Univ, Coll Business, Dept Finance, Changsha 410083, Hunan, Peoples R China.
通讯机构：
[Wen, Fenghua] C;Cent South Univ, Coll Business, Dept Finance, Changsha 410083, Hunan, Peoples R China.
关键词：
Financial markets;Investments;Conditional Value-at-Risk;Mean absolute deviations;Mean-absolute deviation portfolio;Non-parametric estimations;Nonparametric approaches;Portfolio selection models;Sample analysis;Shanghai stock exchanges;Value engineering
摘要：
In this paper, we apply two nonparametric approaches to mean absolute deviation (MAD) portfolio selection model. The first one is to use the nonparametric kernel mean estimation to replace the returns of assets with five different kernel functions. Then, we construct the nonparametric kernel mean estimation-based MAD portfolio model. The second one is to utilize the nonparametric kernel median estimation to replace the returns of assets with five different kernel functions. Then, we construct the nonparametric kernel median estimation-based MAD portfolio model. We also extend the two kinds of nonparametric approach to mean-Conditional Value-at-Risk portfolio model. Finally, we give the in-sample and out-of-sample analysis of the proposed strategies and compare the performance of the proposed models by using actual stock returns in Shanghai stock exchange of China. The experimental results show the nonparametric estimation-based portfolio models are more efficient than the original portfolio model. © 2020, American Institute of Mathematical Sciences.
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A Closer Look at the Minimum-Variance Portfolio Optimization Model
作者：
Dai, Zhifeng*
期刊：
Mathematical Problems in Engineering ,2019年2019(1):1-8 ISSN：1024-123X
通讯作者：
Dai, Zhifeng
作者机构：
[Dai, Zhifeng] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Peoples R China.;[Dai, Zhifeng] Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Peoples R China.;Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Peoples R China.
关键词：
Financial data processing;Empirical performance;Karush Kuhn tucker condition;Lagrangian functions;Parameter selection;Portfolio optimization models;Portfolio strategies;Regularization methods;Regularization terms;Financial markets
摘要：
Recently, by imposing the regularization term to objective function or additional norm constraint to portfolio weights, a number of alternative portfolio strategies have been proposed to improve the empirical performance of the minimum-variance portfolio. In this paper, we firstly examine the relation between the weight norm-constrained method and the objective function regularization method in minimum-variance problems by analyzing the Karush-Kuhn-Tucker conditions of their Lagrangian functions. We give the range of parameters for the two models and the corresponding relationship of parameters. Given the range and manner of parameter selection, it will help researchers and practitioners better understand and apply the relevant portfolio models. We apply these models to construct optimal portfolios and test the proposed propositions by employing real market data. © 2019 Zhifeng Dai.
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Sparse and robust mean–variance portfolio optimization problems
作者：
Dai, Zhifeng* ;Wang, Fei
期刊：
Physica A-Statistical Mechanics and its Applications ,2019年523:1371-1378 ISSN：0378-4371
通讯作者：
Dai, Zhifeng
作者机构：
[Dai, Zhifeng; Wang, Fei] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha, Hunan, Peoples R China.;[Dai, Zhifeng] Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Hunan, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Stat, Changsha, Hunan, Peoples R China.;Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Hunan, Peoples R China.
关键词：
Portfolio optimization;Mean-variance portfolio;Regularization;Robust optimization
摘要：
Mean-variance portfolios have been criticized because of unsatisfying out-of-sample performance and the presence of extreme and unstable asset weights. The bad performance is caused by estimation errors in inputs parameters, that is the covariance matrix and the expected return vector, especially the expected return vector. This topic has attracted wide attention. In this paper, we aim to find better portfolio optimization model to reduce the undesired impact of parameter uncertainty and estimation errors of mean-variance portfolio model. Firstly, we introduce a sparse mean-variance portfolio model, and give some insight about sparsity. Secondly, we propose two sparse and robust portfolio models by using objective function regularization and robust optimization. Finally, three empirical studies are proposed with real market data. (C) 2019 Elsevier B.V. All rights reserved.
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Multiobjective optimization of asphalt pavement design and maintenance decisions based on sustainability principles and mechanistic-empirical pavement analysis
作者：
Chong, Dan;Wang, Yuhong* ;Dai, Zhifeng;Chen, Xiaojun;Wang, Dawei;...
期刊：
International Journal of Sustainable Transportation ,2018年12(6):461-472 ISSN：1556-8318
通讯作者：
Wang, Yuhong
作者机构：
[Chong, Dan] Shanghai Univ, Dept Management Sci & Engn, Shanghai, Peoples R China.;[Wang, Yuhong; Chong, Dan] Hong Kong Polytech Univ, Dept Civil & Environm Engn, Kowloon, Hong Kong, Peoples R China.;[Dai, Zhifeng] Changsha Univ Sci & Technol, Coll Math & Computat Sci, Dept Informat Sci, Changsha, Hunan, Peoples R China.;[Chen, Xiaojun] Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China.;[Wang, Dawei; Oeser, Markus] Rhein Westfal TH Aachen, Inst Highway Engn, Aachen, Germany.
通讯机构：
[Wang, Yuhong] H;Hong Kong Polytech Univ, Dept Civil & Environm Engn, Kowloon, Hong Kong, Peoples R China.
关键词：
Decision making;Energy utilization;Gas emissions;Greenhouse gases;Highway administration;Highway planning;Life cycle;Pavement overlays;Sustainable development;Highway pavement;Maintenance analysis;Mechanistic-empirical pavement design guides;Pavement design;Pavement resurfacing;Multiobjective optimization;asphalt;decision making;design;emission;empirical analysis;energy use;infrastructure planning;life cycle analysis;maintenance;optimization;pavement;road;sustainability;China;Hong Kong
摘要：
Highway pavement as an important component of transport infrastructure has significant impacts on economy, society, and environment. The management of highway pavement has been traditionally focused on economy. In this study, the impacts of management decisions are examined in three dimensions, including life-cycle cost (LCC), energy consumption, and greenhouse gas (GHG) emissions. Quantitative models to predict the three dimensions are developed from mechanistic-empirical pavement analysis results. Two decision variables, pavement thickness and threshold roughness level for pavement resurfacing, are found to be significant in affecting the three dimensions. These two variables are subsequently used as decision variables in multiobjective optimization. The ranges of decisions that result in minimum LCC, energy consumption, and GHG emissions are identified through multiobjective optimization. Although the analysis is illustrated in the context of pavement design and management in Hong Kong, the analysis techniques and procedures can be easily applied in other regions. © 2018 Taylor & Francis Group, LLC.
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Some improved sparse and stable portfolio optimization problems
作者：
Dai, Zhifeng;Wen, Fenghua*
期刊：
Finance Research Letters ,2018年27:46-52 ISSN：1544-6123
通讯作者：
Wen, Fenghua
作者机构：
[Dai, Zhifeng] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.;[Wen, Fenghua] Cent S Univ, Coll Business, Changsha 410083, Hunan, Peoples R China.
通讯机构：
[Wen, Fenghua] C;Cent S Univ, Coll Business, Changsha 410083, Hunan, Peoples R China.
关键词：
Minimum-variance model;Portfolio optimization;Sparse and stable portfolios
摘要：
Parameter uncertainty and estimation errors often cause the presence of unstable asset weights and the poor performance of portfolio model. In addition, in the real world, most investors prefer to choose a small number of stocks to invest. In this paper, we propose some improved sparse and stable portfolio models by combining the shrinkage method and objective function L1 regularization method. An ‘optimal’ shrinkage constant is obtained by minimizes the expected distance between the shrinkage estimator and the true covariance matrix. Moreover, we investigate the combination of the constant correlation and objective function L1 regularization method. Empirical studies show that the proposed strategies have better out-of-sample performance than many other strategies for tested datasets. © 2018 Elsevier Inc.
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A generalized approach to sparse and stable portfolio optimization problem
作者：
Dai, Zhifeng;Wen, Fenghua*
期刊：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION ,2018年14(4):1651-1666 ISSN：1547-5816
通讯作者：
Wen, Fenghua
作者机构：
[Dai, Zhifeng] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China.;[Wen, Fenghua] Cent S Univ, Coll Business, Changsha 410083, Hunan, Peoples R China.;[Wen, Fenghua] Univ Windsor, Fac Engn, Supply Chain & Logist Optimizat Res Ctr, Windsor, ON, Canada.
通讯机构：
[Wen, Fenghua] C;[Wen, Fenghua] U;Cent S Univ, Coll Business, Changsha 410083, Hunan, Peoples R China.;Univ Windsor, Fac Engn, Supply Chain & Logist Optimizat Res Ctr, Windsor, ON, Canada.
关键词：
Portfolio optimization;minimum-variance model;sparse and stable portfolios
摘要：
In this paper, we firstly examine the relation between the portfolio weights norm constraints method and the objective function regularization method in portfolio selection problems. We find that the portfolio weights norm constrained method mainly tries to obtain stable portfolios, however, the objective function regularization method mainly aims at obtaining sparse portfolios. Then, we propose some general sparse and stable portfolio models by imposing both portfolio weights norm constraints and objective function L1 regularization term. Finally, three empirical studies show that the proposed strategies have better out-of-sample performance and lower turnover than many other strategies for tested datasets. © 2018 American Institute of Mathematical Sciences.
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An Accelerated Three-Term Conjugate Gradient Method with Sufficient Descent Condition and Conjugacy Condition
作者：
Dong, XiaoLiang* ;Han, Deren;Dai, Zhifeng;Li, Lixiang;Zhu, Jianguang
期刊：
Journal of Optimization Theory and Applications ,2018年179(3):944-961 ISSN：0022-3239
通讯作者：
Dong, XiaoLiang
作者机构：
[Dong, XiaoLiang] North Minzu Univ, Sch Math & Informat, Yinchuan, Peoples R China.;[Han, Deren] Beihang Univ, Sch Math & Syst Sci, Beijing 100191, Peoples R China.;[Dai, Zhifeng] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha, Hunan, Peoples R China.;[Li, Lixiang] Guilin Univ Elect Technol, Sch Math & Comp Sci, Guilin 541004, Peoples R China.;[Zhu, Jianguang] Shandong Univ Sci & Technol, Coll Math & Syst Sci, Qingdao 266590, Peoples R China.
通讯机构：
[Dong, XiaoLiang] N;North Minzu Univ, Sch Math & Informat, Yinchuan, Peoples R China.
关键词：
Matrix algebra;Number theory;Compensation strategy;Condition numbers;Conjugacy conditions;Conjugate-gradient method;Global conver-gence;Iteration matrix;Search direction;Sufficient descent conditions;Three-term;Three-term conjugate gradient method;Conjugate gradient method
摘要：
An accelerated three-term conjugate gradient method is proposed, in which the search direction can satisfy the sufficient descent condition as well as extended Dai–Liao conjugacy condition. Different from the existent methods, a dynamical compensation strategy in our proposed method is considered, that is Li–Fushikuma-type quasi-Newton equation is satisfied as much as possible, otherwise, to some extent, the singular values of iteration matrix of search directions will adaptively clustered, which substantially benefits acceleration the convergence or reduction in the condition number of iteration matrix. Global convergence is established under mild conditions for general objective functions. We also report some numerical results to show its efficiency. © 2018, Springer Science+Business Media, LLC, part of Springer Nature.
语种：
英文
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Comments on Hybrid Conjugate Gradient Algorithm for Unconstrained Optimization
作者：
Dai, Zhifeng*
期刊：
Journal of Optimization Theory and Applications ,2017年175(1):286-291 ISSN：0022-3239
通讯作者：
Dai, Zhifeng
作者机构：
[Dai, Zhifeng] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha, Hunan, Peoples R China.
通讯机构：
[Dai, Zhifeng] C;Changsha Univ Sci & Technol, Coll Math & Stat, Changsha, Hunan, Peoples R China.
关键词：
Optimization;Conjugate gradient algorithms;Global conver-gence;Nonlinear conjugate gradient method;Unconstrained optimization;Conjugate gradient method
摘要：
In this note, we aim at improving the proof of Theorem 2.1, 2.2, and Theorem 4.2 in Andrei (J Optim Theory Appl 141:249–264, 2009). © 2017, Springer Science+Business Media, LLC.
语种：
英文
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