To appear (Accepted)

  • 李柔佳, 段启宏, 冯卓航, 刘嘉, 多期贝叶斯强化学习鲁棒投资组合选择模型, 工程数学学报, to appear.
  • Jia Liu, Zhiping Chen, Giorgio Consigli, The cost of delay as risk measure in target-based multi-period portfolio selection models, IMA Journal of Management Mathematics, to appear.
  • Alvaro Gomez, Giorgio Consigli, Jia Liu, Multi-period portfolio selection with interval-based conditional value-at-risk, Annals of Operations Research, to appear.
  • Tian Xia, Jia Liu, Zhiping Chen, A dynamical neural network approach for distributionally robust chance constrained Markov decision process, submitted to Science China: Mathematics, to appear.


  • Tian Xia, Jia Liu, Abdel Lisser, Distributionally robust chance constrained games under Wasserstein ball, Operations Research Letters, 2023, 51(3), 315-321 
  • Bingbing Ji, Zhiping Chen, Jia Liu, Xiaoyang Zou, Chenghui Wan, Liangzhi Cao, A new sampling scheme combining maximum entropy and moment matching techniques for reactor physics uncertainty quantification, Annals of Nuclear Energy, 2023, 187, 109778
  • Hoang Nam Nguyen, Abdel Lisser, Jia Liu, Convexity of linear joint chance constrained optimization with elliptically distributed dependent rows, Results in Control and Optimization, 2023, 12: 100285.


  • Jia Liu, Abdel Lisser, Zhiping Chen, Distributionally robust chance constrained geometric optimization, Mathematics of Operations Research, 2022, 47(4): 2547-3399 
  • Yu Mei, Jia Liu, Zhiping Chen, Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball, SIAM Journal on Optimization, 2022, 32(2): 715-738
  • Yu Mei, Zhiping Chen, Jia Liu, Bingbing Ji, Multi-stage portfolio selection problem with dynamic stochastic dominance constraints, Journal of Global Optimization, 2022, 83: 585–613 
  • Roujia Li, Jia Liu, Online portfolio selection with long-short term forecasting, Operations Research Forum, 2022, 3: 56 


  • Jia Liu, Zhiping Chen, Giorgio Consigli, Interval-based stochastic dominance: theoretical framework and application to portfolio choices, Annals of Operations Research, 2021, 307: 329–361
  • Bingbing Ji, Zhiping Chen, Jia Liu, Liangzhi Cao, Zhuojie Sui, Hongchun Wu, Moment matching: A new optimization-based sampling scheme for uncertainty quantification of reactor-physics analysis, Nuclear Science and Engineering, 2021, 195(12): 1247–1264 
  • Yu Mei, Zhiping Chen, Bingbing Ji, Zhujia Xu, Jia Liu, Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: Asymptotic properties, Journal of the Operations Research Society of China, 2021, 9: 525–542


  • Jia Liu, Shen Peng, Abdel Lisser, Zhiping Chen, Rectangular chance constrained geometric optimization, Optimization and Engineering, 2020, 21: 537–566
  • Zhe Yan, Zhiping Chen, Giorgio Consigli, Jia Liu, Ming Jin, A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems, Annals of Operations Research, 2020, 292: 849–881


  • Jia Liu, Zhiping Chen, Abdel Lisser, Zhujia Xu, Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance, Applied Mathematics & Optimization, 2019, 79(3): 671–693
  • Zhiping Chen, Yu Mei, Jia Liu, Multivariate robust second-order stochastic dominance and resulting risk-averse optimization, Optimization, 2019, 68(9): 1719–1747
  • Zhiping Chen, Xinkai Zhuang, Jia Liu, A sustainability-oriented enhanced indexation model with regime switching and cardinality constraint, Sustainability, 2019, 11(15): 4055
  • Immanuel Bomze, Jianqiang Cheng, Peter Dickinson, Abdel Lisser, Jia Liu, Notoriously hard (mixed-)binary QPs: Empirical evidence on new completely positive approaches, Computational Management Science, 2019, 16: 593–619


  • Zhiping Chen, Shen Peng, Jia Liu, Data-driven robust chance constrained problems: A mixture model approach, Journal of Optimization Theory and Applications, 2018, 179(3): 1065-1085
  • Jia Liu, Zhiping Chen. Time consistent multi-period robust risk measures and portfolio selection models with regime-switching, European Journal of Operational Research, 2018, 268(1): 373-385
  • Jia Liu, Zhiping Chen, Yongchang Hui. Time consistent multi-period worst-case risk measure in robust portfolio selection, Journal of the Operations Research Society of China, 2018, 6(1): 139-158 


  • Tianwen Fu, Xinkai Zhuang, Yongchang Hui, Jia Liu, Convex risk measures based on generalized lower deviation and their applications, International Review of Financial Analysis, 2017, 52: 27-37 
  • Zhiping Chen, Jia Liu, Yongchang Hui, Recursive risk measures under regime switching applied to portfolio selection, Quantitative Finance, 2017, 17(9): 1457-1476.
  • Zhiping Chen, Giorgio Consigli, Jia Liu, Gang Li, Tianwen Fu, Qianhui Hu, Multi-period risk measures and optimal investment policies. In G. Consigli, D. Kuhn, P. Brandimarte (Eds.), Optimal Financial Decision Making under Uncertainty, Springer International Publishing, 2017, 1-34.
  • 徐朱佳,谢锐,刘嘉,梅玉,隐马尔科夫模型的改进及其在金融预测中的应用,工程数学学报,2017,34(5): 469-478.


  • Jia Liu, Abdel Lisser, Zhiping Chen, Stochastic geometric optimization with joint probabilistic constraints, Operations Research Letters, 2016, 44(5):  687-691 
  • Jia Liu, Abdel Lisser, Zhiping Chen, Stochastic geometric programming with joint probabilistic constraints, Electronic Notes in Discrete Mathematics, 2016, 55: 49-52 (proceedings of CTW 2016)
  • Zhiping Chen, Jia Liu, Gang Li, Zhe Yan, Composite time consistent multi-period risk measure and its application in optimal portfolio selection, TOP, 2016, 24(3): 515-540 
  • Zhiping Chen, Jia Liu, Gang Li, Time consistent policy of multi-period mean-variance problem in stochastic markets, Journal of Industrial and Management Optimization, 2016, 12(1): 229-249 
  • Gang Li, Zhiping Chen, Jia Liu, Optimal policy for a time consistent mean-variance model with regime switching, IMA Journal of Management Mathematics, 2016, 27(2): 211-234 

 2015 and before

  • Jia Liu, Zhiping Chen, Regime-dependent robust risk measures with application in portfolio selection, Procedia Computer Science, 2014, 31: 344-350 (proceedings of ITQM 2014)
  • Bei Cheng, Zhiping Chen, Jia Liu, Multi-stage financial index tracking model under GH distribution, Pakistan Journal of Statistics, 2013, 29(5): 795-810.
  • 陈志平,谢金星,付天文,刘嘉,胡乾慧,陈明忠,王佟,宿旭升,IPO摇号:一种新方法的探讨,证券市场导报,2012, (03): 14-19.
  • 陈志平,刘嘉,程蓓,智能排班问题的概率约束规划模型与有效求解,工程数学学报,2010, 27(6): 975-985.


Research Reports

Jia Liu, Zhiping Chen, Huifu Xu, Multistage Utility Preference Robust Optimization, 2021.9, v2 revised 21 Feb 2023,


Jia Liu, Abdel Lisser, Zhiping Chen, Distributionally robust geometric programs with probabilistic constraints, working paper, 2017, v2 updated in 2019.


Jia Liu; Shen Peng; Abdel Lisser; Chance constrained nonlinear optimization with skewed distributions and dependent rows, 2022,

Jia Liu; Jiaxin Wei; International portfolio optimization with chance constraints, 投稿中, 2022 , download pdf

Tian Xia; Jia Liu; Abdel Lisser; Distributionally robust chance constrained games under Wasserstein ball, 2022, download pdf

[10]    Tian Xia; Jia Liu; Abdel Lisser; Distributionally robust chance constrained Markov decision process with Kullback-Leibler divergence, 2022 , download pdf