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Extending the Omega model with momentum and reversal strategies to intraday trading

• Authors : Yu, Jing-Rung; Wei, Chieh-Hui; Lai, Chi-Ju

• Source: PLoS ONE. September 8, 2023, Vol. 18 Issue 9, pe0291119.

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An omega portfolio model with dynamic return thresholds.

• Authors : Yu, Jing‐Rung; Chiou, Wan‐Jiun Paul; Lee, Wen‐Yi

Subjects: STOCK exchanges; DYNAMIC models; SHORT selling (Securities)

• Source: International Transactions in Operational Research; Sep2023, Vol. 30 Issue 5, p2528-2545, 18p, 10 Charts, 3 Graphs

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Incorporating transaction costs, weighting management, and floating required return in robust portfolios.

• Authors : Yu, Jing-Rung; Chiou, Wan-Jiun Paul; Liu, Ren-Ting

• Source: Computers & Industrial Engineering. 2017, Vol. 109, pages. 11

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A decision framework for supplier rating and purchase allocation: A case in the semiconductor industry.

• Authors : Yu, Jing-Rung; Tsai, Chao-Chia

• Source: Computers & Industrial Engineering. 2008, Vol. 55, Issue 3, pages. 13

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Omega portfolio models with floating return threshold.

• Authors : Yu, Jing-Rung (AUTHOR); Paul Chiou, Wan-Jiun (AUTHOR); Hsin, Yi-Ting (AUTHOR)

Subjects: TREASURY bills; TRANSACTION costs; STOCK exchanges

• Source: International Review of Economics & Finance. Nov2022, Vol. 82, p743-758. 16p.

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Dynamic rebalancing portfolio models with analyses of investor sentiment.

• Authors : Yu, Jing-Rung (AUTHOR); Chiou, W. Paul (AUTHOR); Hung, Cing-Hung (AUTHOR)

Subjects: PORTFOLIO management (Investments); SENTIMENT analysis; PORTFOLIO performance

• Source: International Review of Economics & Finance. Jan2022, Vol. 77, p1-13. 13p.

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Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models.

• Authors : Yu, Jing-Rung; Chiou, Wan-Jiun Paul; Lee, Wen-Yi

Subjects: ALTERNATIVE investments; INVESTMENTS; FINANCE

• Source: Computers & Operations Research. Apr2019, Vol. 104, p239-255. 17p.

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Diversification benefits of risk portfolio models: a case of Taiwan's stock market.

• Authors : Yu, Jing-Rung; Chiou, Wan-Jiun; Yang, Jian-Hong

Subjects: PORTFOLIO diversification; STOCK exchanges; BEAR marketsTAIWAN

• Source: Review of Quantitative Finance & Accounting; Feb2017, Vol. 48 Issue 2, p467-502, 36p

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Portfolio models with return forecasting and transaction costs.

• Authors : Yu, Jing-Rung (AUTHOR); Paul Chiou, Wan-Jiun (AUTHOR); Lee, Wen-Yi (AUTHOR)

Subjects: TRANSACTION costs; FORECASTING; ASSET allocation

• Source: International Review of Economics & Finance. Mar2020, Vol. 66, p118-130. 13p.

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A Comparison of Portfolios Using Different Risk Measurements.

• Authors : Yu, Jing Rung; Hsu, Yu Chuan; Lim, Si Rou

• Source: Handbook of Financial Econometrics & Statistics; 2015, p707-728, 22p

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