To appear (Accepted)

• Zhiping Chen, Bingbing Ji, Jia Liu, Yu Mei, Multi-stage international portfolio selection with factor-based scenario tree generation, Computational Economics, 2024, to appear.
• Jiaxin Wei, Jia Liu, Personalized fund recommendation with dynamic utility learning, Financial Innovation, 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.

2024

• Peiwang Zhang, Yu Mei, Hao Wang, Weijia Wang, Jia Liu, Collision-free trajectory planning for UAVs based on sequential convex programming, Aerospace Science and Technology, 2024, 152, 109404. Simulation videos of the aircraft penetration:  1obs,  2obs, 3obs, 4obs, 5obs  
• 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, 2024, 41(2): 232-244.
• 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, 2024, 35(3): 345–377.
• Tian Xia, Jia Liu, Zhiping Chen, A dynamical neural network approach for distributionally robust chance constrained Markov decision process, Science China: Mathematics, 2024, 67: 1395–1418.

2023

• 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.

2022

• 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 

2021

• 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

2020

• 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

 2019

• 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

 2018

• 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 

2017

• 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.

 2016

• 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.