(1.)Basic Information

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(5.)Scientific Research

基金项目

  1. 数据驱动下稀疏随机金融优化的理论与算法研究,国家自然科学基金(11971372),2020-202358万元。主持
  2. 支持大数据分析的优化理论与方法研究, 国家自然科学基金重点项目(11631013, 2017-2021,  230万元,合作单位,排名第一。
  3. 关于约束稀疏优化问题的理论、算法及应用研究,国家自然科学基金面上项目(11571271,2016-201950万元,主持。
  4. 关于压缩传感所引起的非凸优化问题稀疏解研究国家自然科学基金青年基金项目2012-201423万元,,主持。
  5. 图的最大二等分问题股票指数期货—投资、套利与套期保值的近似算法及其应用研究,中国博士后科学基金项目,2008-2010,批准号200804401895万元,主持。

 

专著

  1. 薛宏刚,徐成贤,徐凤敏,股票指数期货—投资、套利与套期保值,科学出版社,2008
  2. 徐凤敏, 稀疏金融资产管理, 经济科学出版社,2019.
  3. 梁循,尤晓东,薛杨,徐凤敏,区块链技术与应用,中国人民大学出版社,2020.
  4. 徐凤敏, 金融工程案例分析,经济科学出版社,2020.

论文目录

 

  1. 赵志华,徐凤敏,戴彧虹,刘三阳,Robust Enhanced Indexation Optimization with Sparse Industry Layout ConstraintComputers & Operations Research, Volume 161, January 2024, 106420
  2. 乔东,徐凤敏,李本初,卫丽君,绿色金融推动碳中和目标实现的研究现状与路径展望,西安交通大学学报(社科版),2024.
  3. Zhi-Long DongCelso C.RibeiroFengminXuAilecZamorabYujie MaKui Jing Dynamic scheduling of e-sports tournamentsTransportation Research Part E: Logistics and Transportation Review, Volume 169, January 2023, 102988.
  4. Xu F, Ma J. Intelligent option portfolio model with perspective of shadow price and risk-free profit[J]. Financial Innovation, 2023, 9(1): 79.
  5. Xu F, Li X, Dai Y H, et al. New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact[J]. International Transactions in Operational Research, 2023, 30(5): 2640-2664.
  6. Jing K, Liu X, Xu F, et al. Data-trading coordination with government subsidy[J]. Journal of Global Optimization, 2023, 87(2): 877-915.
  7. 徐凤敏,王柯蕴.建设统一数据要素大市场的科学内涵,内在逻辑与政策建议[J].西安交通大学学报:社会科学版, 2023, 43(2):95-106.
  8. 徐凤敏, 景奎, 李雪鹏.  双碳目标下基于ESG整合的投资组合研究. 金融研究, 2023.
  9. 徐凤敏, 刘文玲, 李雪鹏, 景奎. “双碳目标下的绿色双层投资组合模型研究. 统计信息论坛, 2023. 38(1):1-9
  1. Fengmin Xu, Jieao Ma, Haibing Lu. Group sparse enhanced indexation model with adaptive beta value. Quantitative Finance, 2022,22(10):1905-1926, SSCI 检索:IDS:4M0DM
  2. Kui Jing, Fengmin Xu, Xuepeng Li. A bi-level programming framework for identifying optimal parameters in portfolio selection. International Transactions in Operational Research, 2022, 29(1): 87-112. SSCI 检索:IDS: UC4XF
  3. 曾燕, 杨雅婷, 徐凤敏, 张成毅.消费金融研究综述[J].系统工程理论与实践,  2021(12)1-35.
  4. Xuepeng Li; Fengmin Xu; Kui Jing; Robust enhanced indexation with ESG: An empirical study in     the Chinese Stock Market, Economic Modelling, 2021, 107(1)105711.
  5. Zhihua Zhao, Fengmin Xu*, Donglei Du, Meihua Wang. Robust Portfolio Rebalancing with Cardinality and Diversication constraints[J]. Quantitative Finance, 2021: 1-15. DOI: https://doi.org/ 10.1080/14697688.2021.1879392.
  6. Zhao Z, Wang H, Yang X, et al. CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints. Applied Economics Letters, 2021, 28(3): 201- 207.
  7. Zhilong Dong; Minxing Zhu; Fengmin Xu; Robo-advisor Using Closed-form Solutions for Investors Risk Preferences, Applied Economics Letters, 2021, 6(1)1-15.
  8. Zhilong Dong; Jiming Peng; Fengmin Xu; Yuhong Dai; On some extended mixed integer optimization models of the Eisenberg–Noe model in systemic risk management, International Transaction in Operational Research, 2021, 28(6)3014-3037.
  9.  Yu-Hong Dai; Zhouhong Wang; Fengmin Xu; A primal-dual algorithm for unfolding neutron energy spectrum from multiple activation foils, Journal of Industrial and Management Optimization, 2021,17(5)2367-2387.
  10. 徐凤敏,李学鹏. 带有概率约束的稀疏统计套利模型研究, 统计信息论坛, 2020, 35(11):10
  11. Dong, ZL., Xu, F. & Dai, YH. Fast algorithms for sparse portfolio selection considering industries and investment styles. J Glob Optim ,2020, 784): 763–789. 
  12.  Zhihua Zhao, Fengmin Xu,Meihua Wang, Cheng-yi Zhang, A sparse enhanced indexation model with L1/2 normand Its Alternating Quadratic Penalty Method, Journal of OR Society, 2019, 70(3), pp.433-445. SSCI 检索,IDSHN3EU
  13. Fengmin Xu; Yu-Hong Dai; Zhihua Zhao; Zongben Xu; Efficient projected gradient methods for cardinality constrained optimization, Science China-Mathematics, 2019, 62(2): 245-268
  14. 徐凤敏,景奎,梁循,一类系数投资组合双层参数估计模型及其应用,中国管理科学, 201927(9),pp189-199.
  15. 景奎,王磊,徐凤敏,产融结合、股权结构与公司投资效率,经济管理,201941(11)pp174-192.
  16. Jianchao Bai, Xiaokai Chang, Jicheng Li & Fengmin Xu, Convergence revisit on generalized symmetric ADMM, Optimization, A Journal of Mathematical Programming and Operations Research, 2019.
  17. Zhouhong Wang Yu-Hong Dai and Fengmin Xu, A Robust Interior Point Method For Computing The Analytic Center Of An Ill-conditioned Polytope With Errors, Journal of Computational Mathematics2019doi:10.4208/jcm.1907-m2019-0016
  18. Fengmin Xu, Meihua Wang, Yu-Hong Dai and Dachuan Xu. A sparse enhanced indexation model with chance and cardinality constraints. Journal of Global Optimization, 201870(1):5-25. SSCI检索, IDS : FS6XD.
  19. Meihua Wang, Fengmin Xu, Yu-Hong Dai, An index tracking model embedded stratified sampling in optima-l allocation, Applied Stochastic models in business and Industry,2018342):144-157, SSCI检索, IDS : GC7VV.
  20. Xiaojun Chen, T. Kelly, Fengmin Xu and Zaikun Zhang, A Smoothing Direct Search Method for Monte Carlo-based Constrained Nonsmooth Nonconvex Optimization, SIAM Journal on Scientific Computing2018, 40 (4) 2174-2199. UC4XF GS0CL
  21. Fengmin Xu, Yanfei Wang. Recovery of seismic wave fields by an lq-Norm constrained regularization method. Inverse Problems and Imaging, 201812(5):1157-1172.SCI 检索:IDS: GW5PQ.
  22. 徐凤敏,景奎,孙娟,基于综合指标的中小企业生命周期阶段划分, 管理学刊, 2018.31(6).
  23. 陈圣杰,戴彧虹,徐凤敏,稀疏线性规划研究, 计算数学, 2018, 40(4):339-353.
  24. Jianchao Bai, Jicheng Li, Fengmin Xu, Hongchao Zhang. Generalized symmetric ADMM for separable convex optimization. Computational Optimization & Applications, 2018,70 (1)129-170. SCI 检索, IDS : GA8SY
  25.  Jianchao Bai, Jicheng Li, Fengmin Xu, Pingfan Dai. A novel method for a class of structured low-rank minimizations with equality constraint. Journal of Computational and Applied Mathematics, 2018, 330:475–487, SCI 检索, IDS : FN1WX
  26. Jianchao Bai, Jicheng Li, Fengmin Xu, Accelerated method for optimization over density matrices in quantum state estimation, 2018, 66(5): 869-880. SCI 检索:IDS: FZ6UZ.
  27. 2017
  28. Fengmin Xu, Min Sun, Yu-Hong Dai. An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact. Journal of Systems Science & Complexity, 2017, 30(5):1-15. SCI 检索, IDS : FB7ZV
  29. Fengmin Xu, Yu-Hong Dai, Zhihua Zhao and Zongben Xu, Efficient projected gradient   methods for a class of L0 constrained optimization, Science China Mathematics. 2017.DOI: 10.1007/s11425-016-9124-0, SCI 检索期刊.
  30. Wanping Yang, Jinkai Zhao and Fengmin Xu, An efficient method for convex constrained rank minimization problems based on DC programming, Accepted by Mathematical Problems in Engineering , 2016, 29:1-15. SCI检索IDSDT3QG.
  31. Fengmin Xu, Zhaosong Lu and Zongben Xu. An efficient optimization approach for a cardinality-constrained index tracking problem. Optimization Methods & Software, 2016, 31(2):258-271. SCI检索 IDSDC9BL
  32. 赵志华,徐凤敏,袁晓玲,基于稀疏鲁棒优化的超越指数模型及实证分析,数值计算与计算机应用,2016, 37(3):199-210.
  33. Zhihua ZhaoFengmin Xu and Xiangyang Li, Adaptive projected gradient thresholding methods for constrained l0 problems, Science China Mathematics, 2015,58(10):2205-2224. SCI 检索(IDS CS0PV
  34. Fengmin Xu ,Wang Guan and  Gao Yuelin, Nonconvex L1/2 regularization for sparse  portfolio selection, Pacific Journal of Optimization, 2014 10 (1):163-176. SCI 检索 (IDSAA8JR.
  35. Fengmin Xu, Shanhe Wang, A hybrid simulated annealing threshoding algorithm for         compressed sensing, Signal Processing, 2013 93(6): 1577-1585. SCI检索(IDS120KS
  36. Fengmin Xu, Xusheng Ma and Baili Chen, A new Lagrange net algorithm for solving max-bisection problems, Journal of Computational  and Applied Mathematics, 2011 235 (13):3718-3723, SCI 检索 (IDS773CV
  37. Fengmin Xu, Shanhe Wang and Zongben Xu, A hybrid hard thresholding algorithm for compressed sensing, IEEE 3rd International Conference on Communication Software and Networks,  2011.  EI 检索(EI Accession Number 20113914379004
  38. Fengmin Xu and Chengxian Xu, A continuation approach using NCP function for solving max-cut problem, Asia-Pacific Journal of Operation Research, 2009 26 (4): 445-456, SCI 检索(IDS:  497FA
  39. Xiaojun Chen, Fengmin Xu and Yinyu Ye, Lower bound theory of nonzero entries in solution of L2-Lp minimization, SIAM Journal on Scientific Computing, 2010 32 (5): 2832-2852. SCI检索  (IDS668TN)香港访问合作文章,入选高倍引用论文
  40. Zongben Xu, Xiangyu Chang, Fengmin Xu and Hai Zhang, An iterative half thresholding algorithm for L1/2  regularization, IEEE Transaction on Neural Networks,  2012 23 (7): 1013-1027,  SCI 检索 (IDS960ON)入选高倍引用论文
  41. Meihua Wang, Cheng Li, Honggang Xue, and Fengmin Xu,A new portfolio rebalancing model with transaction costs.Journal of Applied Mathematics,Volume 2014, Article ID 942374, 7 pages. SCI检索 (IDS:  AG8TL)通讯作者
  42. Meihua Wang, Chengxian Xu, Fengmin Xu, Honggang Xue, A mixted 0-1 LP for index tracking with CVAR constraints, Annals of Operational Research, 2012, 196 (1): 591-609,  SCI 检索 (IDS:  965CN)通讯作者
  43. Meihua Wang, Xu, Fengmin, Guan Wang, Sparse portfolio rebalancing model based on inverse optimization, Optimization Methods and Software, 2014, 29(2): 297-309, SCI检索, (IDS:  248CX) 通讯作者
  44. Meihua Wang, Fengmin Xu, Chengxian Xu,  A branch and bound algorithm embedded with DCA for DC programming, Mathematical problems in engineering, Accepted, 2012. SCI 检索 (IDS:  990UE)通讯作者
  45. Cheng-yi Zhang, Fengmin Xu, Zongben Xu,Jicheng Li General  H-matrices and their Schur compl ements,  Frontiers of Mathematics in China, 2014, 9(5): 1141-1168, SCI 检索 (IDS AN2NZ)通讯作者
  46. Shuanghua Luo, Cheng-Yi Zhang, Fengmin Xu, The local linear M-Estimation with missing response data, Journal of Applied Mathematics, 2014. SCI 检索(IDS:  AL1LG) 通讯作者
  47. Zhang Cheng-Yi, Luo Shuanghua, Li Jicheng, Xu Fengmin, An Extension of the Class of Matrices Arising in the Numerical Solution of PDEs, Electronic Journal of Linear Algebra, 23(2012): 422-444 . SCI 检索 (IDS:  982ME)
  48. Aifang Liang, Chengxian Xu and Fengmin Xu, A discrete filled function algorithm embedded with continuous approximation for solving max-cut problems, European of Journal of Operational Research, 2009, 197 (2):519-531. SCI 检索 (IDS:  424ZD
  49. Chengyi Zhang, Shanghua Luo, Fengmin Xu and Chengxian Xu, The eigenvalue distribution of Schur complements of no strictly diagonally dominant matrices and central H-matrices, Electronic Journal of Linear Algebra, 2009 , 18 (1):801-820. SCI 检索 (IDS:  535ZS
  50. Aifang Liang, Chengxian Xu and Fengmin Xu, A discrete filled function algorithm for approximate global solutions of max-cut problems, Journal of Computational and Applied Mathematics, 2008, 220 (1):643-660. SCI 检索 (IDS: 340HN),EI 检索(EI Accession Number 083111416612
  51. 胡春萍, 薛宏刚, 徐凤敏, 基于时间加权的指数优化复制模型与实证分析, 系统工程 理论与实践, 2014, 34(9): 2193-2201.

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