ارائه مدل بهینه‌سازی پرتفوی چنددوره‌ای با ترجیح ریسک پویا و محدودیت حداقل معاملات در محیط غیرقطعی

Acciaio, B., Albrecher, H., Biagini, F., & Schmidt, T. (2024). New Challenges in the Interplay Between Finance and Insurance. Oberwolfach Reports, 20(4), 2547-2635. https://doi.org/10.4171/owr/2023/44

Albaqami, H. (2025). A Monte Carlo-Based Framework for Two-Stage Stochastic Programming: Application to Bond Portfolio Optimization. Entropy, 27(11), 1118. https://doi.org/10.3390/e27111118

Cha, J. (2025). Inverse Portfolio Optimization With Synthetic Investor Data: Recovering Risk Preferences Under Uncertainty. https://doi.org/10.48550/arxiv.2510.06986

Escobar‐Anel, M., & Jiao, Y. (2024). Robust Portfolio Optimization With Environmental, Social, and Corporate Governance Preference. Risks, 12(2), 33. https://doi.org/10.3390/risks12020033

Escobar‐Anel, M., Speck, M., & Zagst, R. (2024). Bayesian Learning in an Affine GARCH Model With Application to Portfolio Optimization. Mathematics, 12(11), 1611. https://doi.org/10.3390/math12111611

Ghanbari, H., Tavakoli, S., Shabani, M., Mohammadi, E., Sadjadi, S. J., & Kumar, R. R. (2025). A Two-Stage Framework for Enhancing Crsyptocurrency Portfolio Performance: Integrating Credibilistic CVaR Criterion With a Novel Asset Preselection Approach. PLoS One, 20(7), e0325973. https://doi.org/10.1371/journal.pone.0325973

Hansen, L. P., & Miao, J. (2022). Asset Pricing Under Smooth Ambiguity in Continuous Time. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4060271

Hu, Z., Rui-cheng, Y., & Borjigin, S. (2024). A Multistage Forecasting Model for Green Bond Cost Optimization With Dynamic Corporate Risk Constraints. Journal of Forecasting, 43(7), 2607-2634. https://doi.org/10.1002/for.3142

Jiang, L., Wu, C., & Wang, S. (2023). Distributionally Robust Multi-Period Portfolio Selection Subject to Bankruptcy Constraints. Journal of Industrial and Management Optimization, 19(2), 1044. https://doi.org/10.3934/jimo.2021218

Jin, X., Li, H., & Hou, Y. (2023). Multi-Period Portfolio Optimization Based on Credibilistic Lower and Upper VaR Ratios. Journal of Intelligent & Fuzzy Systems, 45(3), 4825-4845. https://doi.org/10.3233/jifs-224517

Kanaparthi, V. (2024). Navigating Uncertainty: Enhancing Markowitz Asset Allocation Strategies Through Out-of-Sample Analysis. Fintech, 3(1), 151-172. https://doi.org/10.3390/fintech3010010

Kang, J.-h., Huang, N. j., Hu, Z., & Yang, B.-Z. (2022). Robust Equilibrium Strategy for Mean-Variance-Skewness Portfolio Selection Problem. https://doi.org/10.48550/arxiv.2201.06233

Liang, G., Strub, M. S., & Wang, Y. (2023). Predictable Forward Performance Processes: Infrequent Evaluation and Applications to Human‐machine Interactions. Mathematical Finance, 33(4), 1248-1286. https://doi.org/10.1111/mafi.12408

Long, J., & San-yun, Z. (2023). Optimal Portfolio Selection With Delay Under the Framework of Uncertainty Theory. Journal of Applied Mathematics and Physics, 11(10), 2848-2870. https://doi.org/10.4236/jamp.2023.1110187

Maggistro, R., Marino, M., & Martire, A. (2024). A Dynamic Game Approach for Optimal Consumption, Investment and Life Insurance Problem. Annals of Operations Research, 346(2), 1377-1398. https://doi.org/10.1007/s10479-024-05847-3

McKinney, R. (2026). Pricing Biodiversity Risk Under Measurement Heterogeneity: A Continuous-Time Framework for Financial Markets. https://doi.org/10.21203/rs.3.rs-8759911/v1

Moreira, L. M., Santos, I. L. d., & González, P. H. (2025). Portfolio Optimization for Pension Purposes: Literature Review. Journal of Economic Surveys, 40(1), 45-72. https://doi.org/10.1111/joes.12702

Mukerji, S., Özsöylev, H. N., & Tallon, J. M. (2023). Trading Ambiguity: A Tale of Two Heterogeneities. International Economic Review, 64(3), 1127-1164. https://doi.org/10.1111/iere.12627

Oliva, I., & Stefani, I. (2023). Co-Jumps and Recursive Preferences in Portfolio Choices. Annals of Finance, 19(3), 291-324. https://doi.org/10.1007/s10436-023-00425-2

Owadally, I., Jang, C., & Clare, A. (2021). Optimal Investment for a Retirement Plan With Deferred Annuities. Insurance Mathematics and Economics, 98, 51-62. https://doi.org/10.1016/j.insmatheco.2021.02.001

Peykani, P., Nouri, M., Pishvaee, M. S., Oprean-Stan, C., & Mohammadi, E. (2023). Credibilistic Multi-Period Mean-Entropy Rolling Portfolio Optimization Problem Based on Multi-Stage Scenario Tree. Mathematics, 11(18), 3889. https://doi.org/10.3390/math11183889

Pham, H., Wei, X., & Zhou, C. (2021). Portfolio Diversification and Model Uncertainty: A Robust Dynamic Mean‐variance Approach. Mathematical Finance, 32(1), 349-404. https://doi.org/10.1111/mafi.12320

Polak, P., & Ulrych, U. (2021). Dynamic Currency Hedging With Ambiguity. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3906716

Silva, T., Valladão, D., & Homem‐de‐Mello, T. (2021). A Data-Driven Approach for a Class of Stochastic Dynamic Optimization Problems. Computational Optimization and Applications, 80(3), 687-729. https://doi.org/10.1007/s10589-021-00320-4

Wang, H., & Yu, S. M. (2021). Robo-Advising: Enhancing Investment With Inverse Optimization and Deep Reinforcement Learning. https://doi.org/10.48550/arxiv.2105.09264

Wang, L., Chen, Z., & Yang, P. (2021). Robust Equilibrium Control-Measure Policy for a DC Pension Plan With State-Dependent Risk Aversion Under Mean-Variance Criterion. Journal of Industrial and Management Optimization, 17(3), 1203-1233. https://doi.org/10.3934/jimo.2020018

Yao, H., Chen, P., Zhang, M., & Li, X. (2022). Dynamic Discrete-Time Portfolio Selection for Defined Contribution Pension Funds With Inflation Risk. Journal of Industrial and Management Optimization, 18(1), 511. https://doi.org/10.3934/jimo.2020166

Yu, Z., Yan, C., & Wang, X. (2025). Portfolio Model Considering Normal Uncertain Preference Relations of Investors. Entropy, 27(6), 585. https://doi.org/10.3390/e27060585