Department Introduction
Aims and Objectives
Teacher Presentation
Our location
DISTINGUISHED PROFESSOR
Jing-Rung Yu
Educational Background
PhD, Institute of Information Management, National Chiao-Tung University, Taiwan
Area for research
Robo-Advisor, Social Media Sentiment Analysis, Crypto Currency Research, Dynamic Portfolio Selection, Multiple Criteria Decision Making, International Talent Cultivation
Laboratory
Data Analytics Lab.
- (049)2910960 transfer 4639
- jennifer@ncnu.edu.tw
- School of Management Room 5066
- Wednesday: 15：10 - 17：00
- International talent clutivation
- Academic research
- Link of Laboratory
Journal Papers
(作者欄斜體#部份均為碩士生或大學生)
[1] Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee, Shun-Ji Lin# (2020), Portfolio models with return forecasting and transaction costs, International Review of Economics and Finance, 66,118-130. (SSCI, Impact factor: 1.432)
[2] Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee, Tsao-Yuan Chang # (2019), Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models, Computers and Operational Research, 104, 239-255. (SCI, Impact factor: 2.962)
[3] Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee, and Kai-Cheng Yu # (2017), Does entropy model with return forecasting enhance portfolio performance? Computers and Industrial Engineering, 114, 175-182. (SCI, Impact factor: 2.623)
[4] Jing-Rung Yu, Wan-Jiun Paul Chiou, and Ren-Ting Liu# (2017), Incorporating Transaction Costs, Weighting Management, and Floating Required Return in Robust Portfolios, Computers and Industrial Engineering, 109, 48-58. (SCI, Impact factor: 2.623)
[5] Jing-Rung Yu and Wan-Jiun Paul Chiou and Jian-Hong Yang# (2017), Diversification benefits of risk portfolio models: a case of Taiwan’s stock market, Review of Quantitative Finance and Accounting, 48, 467-502. (科技部財務領域A-級期刊；財金與會計學門會計領域ATier-2級期刊)
[6] Jing-Rung Yu , Wan-Jiun Paul Chiou, and Dalen Mu# (2015), A linearized value-at-risk model with transaction costs and short selling, European Journal of Operational Research, 247 (3), 16 December, 872–878. (SCI, Impact factor: 2.093)
[7] Jing-Rung Yu and Fan-Meng Tzeng (2015), Fuzzy piecewise logistic growth model for
innovation diffusion: A case study of the TV industry, International Journal of Fuzzy Systems, First online 23 August, 1-12. (SCIE, Impact factor: 1.095)
[8] Jing-Rung Yu, Wen-Yi Lee# and Wan-Jiun Paul Chiou (2014), Diversified portfolios with different entropy measures, Applied Mathematics and Computation, 241, 15 August, 47–63. (SCI, Impact factor: 1.600)
[9] Fan-Meng Tzeng and Jing-Rung Yu* (2014), A two stage fuzzy piecewise logistic model for penetration forecasting, scenario analysis and Delphi method, Applied Soft Computing, 21, August, 149-158. (SCI, Impact factor: 1.909)
[10] Jing-Rung Yu and Wei-Yuan Shing# (2013), Fuzzy Analytic Hierarchy Process and Analytic Network Process: An Integrated Fuzzy Logarithmic Preference Programming, Applied Soft Computing, 13(4) 1792-1799. (SCI, Impact factor: 1.909)
[11] Jing-Rung Yu and Wen-Yi Lee# (2011), Portfolio rebalancing model using multiple criteria, European Journal of Operational Research, 209, 166-175. (SCI, Impact factor: 2.093)
[12] Jing-Rung Yu and Yu-Wen Hsia# and Her Jiun Sheu (2011), A multiplicative approach to derive weights in the interval analytic hierarchy process, International Journal of Fuzzy Systems, 13, 225-231. (SCI expanded, Impact factor: 1.362)
[13] Chih-Min Yu and Jing-Rung Yu (2012), A configurable routing protocol for Bluetooth wireless networks, Advanced Materials Research Journal, 182-183, 593-597. (EI)
[14] Jing-Rung Yu and Chien-Wei Lee# (2010), Piecewise regression for fuzzy input-output data with automatic change-point detection by Quadratic Programming, Applied Soft Computing, 10 111–118. (SCI, Impact factor: 1.909)
[15] Yuh-Jiuan Tsay, Tain-Jung Hsu# and Jing-Rung Yu (2009), FIUT: A new method for mining frequent itemsets, Information Sciences, 179(11) 1724-1737. (SCI, Impact factor: 3.095)
[16] Jing-Rung Yu and Gwo-Hshiung Tzeng (2009), Fuzzy multiple objective programming in an interval piecewise regression model, International Journal of Uncertainty, Fuzziness and
Knowledge-Based Systems, 17(3) 365-376. (EI, SCI expanded, Impact factor: 1)
[17] Jing-Rung Yu and Chao-Chia Tsai (2008), A decision framework for supplier rating andpurchase allocation: A case in the semiconductor industry, Computers and Industrial Engineering, 55(3) 634-646. (SSCI, Impact factor: 1.057)
[18] Jing-Rung Yu, Ren-Xiang Shi# and Her Jiun Sheu (2008), A linearization method to fuzzyquadratic minimum spanning tree, International Journal of Fuzzy Systems, 10(4) 287-291. (EI)
[19] Jing-Rung Yu, Gwo-Hshiung Tzeng, Chin-I Chiang and Her Jiun Sheu (2007), Raw material supplier rating in semiconductor manufacturing industry by fuzzy multiple objective programming to DEA, International Journal of Operations and Quantitative Management, 13 (4) 273-283.
[20] Jing-Rung Yu, Jui Mei Chang#, Shiuh Sheng Yu and Her Jiun Sheu (2009), A linear multiple objective programming for assortment problems and packing problems, Journal of the Chinese Institute of Industrial Engineers, 26(2), 77-86. (EI, TSSCI)
[21] Jing-Rung Yu and Shu-Ji Cheng# (2007), An integrated approach for deriving priorities in analytic network process, European Journal of Operational Research, 180(3) 1427-1432. (SCI, Impact factor, 1.627)
[22] Jing-Rung Yu (2007), IDEA by multiple objective programming, International Journal of Innovative Computing, Information and Control, 3(1) 21-29. (SCI, Impact factor: 1.537)
[23] Jing-Rung Yu and Wei-Cheng Lee# (2008), An integrated decision support method on mutual fund investment, Journal of Financial Studies, 16(2) 55-81. (TSSCI, Chinese)
[24] Jing-Rung Yu and Tzu-Hao Wei# (2007), Solving the fuzzy shortest path problem by using multiple objective programming, Journal of the Chinese Institute of Industrial Engineers, 24(5) 360-365. (EI, TSSCI)
[25] Jing-Rung Yu and Chia-Hao Chen# (2006), A multiple group classification method by mixed integer programming, Journal of Management & Systems, 13(2) 221-240. (TSSCI, Chinese)
[26] Jing-Rung Yu, Gwo-Hshiung Tzeng and Han-Lin Li (2005), Interval piecewise regression model with automatic change-point detection by quadratic programming, International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 13(3), 347-361. (EI, SCI expanded, Impact factor: 1)
[27] Jing-Rung Yu, Yen-Chen Tzeng#, Gwo-Hshiung Tzeng, Tzu Yi Yu and Her Jiun Sheu (2004), A fuzzy multiple objective programming approach to DEA with imprecise data, International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 12(5), 591-600. (EI, SCI expanded, Impact factor: 1)
[28] Jing-Rung Yu, Gwo-Hshiung Tzeng and Han-Lin Li (2001), General fuzzy piecewise regression analysis with automatic change-point detection, Fuzzy Sets and Systems, 119, 247-257. (SCI)
[29] Jing-Rung Yu, Gwo-Hshiung Tzeng and Han-Lin Li (1999), A general piecewise necessity regression analysis based on linear programming, Fuzzy Sets and Systems, 105, 429-436. (SCI)
[30] Han-Lin Li and Jing-Rung Yu (1999), A piecewise regression analysis with automatic change-point detection, Intelligent Data Analysis, 3, 75-85.
[31] Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee (2022), An omega portfolio model with dynamic return thresholds, International Transactions in Operational Research, https://doi.org/10.1111/itor.13153 . (SCI, Impact factor: 3.61)
[32] Jing-Rung Yu, Wan-Jiun Paul Chiou, Yi-Ting Sin # (2022), Omega Portfolio Models with Floating Return Threshold, International Review of Economics and Finance, Forthcoming. (SSCI, 2021 Impact factor: 2.522)
Book Chapter
(作者欄斜體#部份均為碩士生或大學生)
[1] Wan-Jiun Paul Chiou, and Jing-Rung Yu (2020), Chapter 104: Advancement of optimal portfolio models with short-sales and transaction costs: methodology and effectiveness. Handbook of Financial Econometrics, Mathematics, Statistics, and Machine learningy, 3649-3674, Lee, Cheng-Few, Lee, John C. (Eds.), World Scientific, ISBN 977-981-120-238-4.
[2] Jing-Rung Yu and Yu Chuan Hsu# and Si Rou Lim# (2015), Chapter. 26: A comparison of portfolios using different risk measurements, Handbook of Financial Econometrics and Statistics, 707-728, Lee, Cheng-Few, Lee, John C. (Eds.), Springer, ISBN 978-1-4614-7749-5.
Conference Papers
(作者欄斜體#部份均為碩士生或大學生)
[1] Jing-Rung Yu, Wan-Jiun Paul Chiou, and Ming-Yi Hwang# (2020), A Robust Omega Model With Wasserstein Metric, 2020 INFORMS Annual Meeting, Nov. 7-3, On-line meeting.
[2] Jing-Rung Yu, Wan-Jiun Paul Chiou, Chen Chang# and Ming-Yi Hwang# (2019), An Omega model with stochastic dominance efficiency approach, 2019 INFORMS Annual Meeting, Oct. 20-23, Seattle, Washington, USA.
[3] Jing-Rung Yu, Wan-Jiun Paul Chiou, and Wen-Yi Lee (2018), A linear Omega model with optimizing return threshold, INFORMS Annual Meeting, Nov. 4-7, Phoenix, Arizona, USA.
[4 ] Jing-Rung Yu, Wan-Jiun Paul Chiou, Ching-Hung Hung# and Wen-Kuei Dong # (2017), Using social media sentiment in automatic portfolio rebalancing, INFORMS Annual Meeting, October 22-25, Houston, Texas, USA.
[5] Jing-Rung Yu, Wan-Jiun Paul Chiou, Chinh-Hao Wu# and Hsien-Yi Liu# (2017), Dynamic portfolio management with considering sentiments: analyzing emoji on social media, 2017 DSI Annual Meeting, November 18-20, Washington, D.C, USA.
[6 ] Jing-Rung Yu, Wan-Jiun Paul Chiou, Yi-Ting Sin# and Wen-Yi Lee# (2016), Optimizing the Omega ratio in portfolio with floating return threshold, 2016 INFORMS Annual Meeting, November 13-16, Nashville, Tennessee, USA.
[7] Jing-Rung Yu, Wan-Jiun Paul Chiou, Ching-Hung Hung# and Wen-Kuei Dong# (2016), Robust portfolio models with short-sales, transaction sosts, and floating required return, 2016 Financial Management Association Annual Meeting, October 19-22, Las Vegas, USA.
[8] Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee# and Shun-Ji Lin # (2016), A forecasting portfolio selection rebalancing model with transaction cost and short selling, The 4th International Conference on Business and Social Sciences, March 29-31, Kyoto, Japan.
[9] Jing-Rung Yu, Wan-Jiun Paul Chiou, Ching-Hung Hung# and Wen-Kuei Dong # (2016), Using text mining for dynamic asset allocation, The 4th International Conference on Business and Social Sciences, March 29-31, Kyoto, Japan.
[10] Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee# and Tsao-Yuan Chang# (2015), A rebalancing Worst-Case Omega ratio portfolio model, 23rd International Conference on Multiple Criteria decision Making, August 2-7, Hamburg, Germany.
[11] Jing-Rung Yu, Wan-Jiun Paul Chiou, Ching-Hung Hung# and Wen-Kuei Dong# (2015), Does the floating required return impact the performance of the portfolio? 27th European Conference on Operational Research (EUOR), July 12-15, Glasgow, UK.
[12] Jing-Rung Yu, Wan-Jiun Paul Chiou, Yi-Wei Chen# and Kaio-Cheng Yu# (2014), Fuzzy entropy model in portfolio selection, International Conference on Business Innovation and Technology Management (ICBITM), October 15-17, Osaka, Japan.
[13] Jing-Rung Yu, Wan-Jiun Paul Chiou and Ren-Ting Liu# (2014), The comparisons of robust portfolio selections with short selling and transaction cost, International Conference on Business Innovation and Technology Management (ICBITM), October 15-17, Osaka, Japan.
[14] Jing-Rung Yu, Wan-Jiun Paul Chiou and Jian-Hong Yang# (2014), Diversification benefits of risk models in managing portfolios, 2014 Financial Management Association Annual Meeting, October 14-17, Nashville, USA. (has been identified as a semifinalist for one of five best paper awards to be given at the 2014 FMA Annual Meeting)
[15] Jing-Rung Yu, Wan-Jiun Paul Chiou, Da-Ren Mu# and Ren-Ting Liu# (2014), The comparison of CVaR model and VaR model, International Conference on Innovation and Management (IAM2014W), January 20-23, 2014, Bangkok, Thailand.
[16] Jing-Rung Yu, Wan-Jiun Paul Chiou, and Shin-Ruei Huang# (2014), Comparisons of portfolios with different risk measures, International Conference on Business and Social Science, March 28-30, 2014, Tokyo, Japan.
[17] Jing-Rung Yu, Wan-Jiun Paul Chiou, Wei-Yuan Chang and Wen-Yi Lee# (2013), Modeling Transaction Costs and Skewness in Portfolio: Application of Fuzzy Approach, International Conference on Fuzzy Theory and Its Applications, Dec. 6-8, Taipei, Taiwan.
[18] Jing-Rung Yu , Wan-Jiun Paul Chiou, Hsiu-Wen Pai# and Shin-Ruei Huang# (2013), Option Portfolio with Multiple Criteria Decision Making, XXVI EURO Conference, 7/1-7/4/2013, Rome, Italy.
[19] Jing-Rung Yu, You Wei Dong#, Yi Hsuan Chang# and Fang-Mei Tseng (2012), Comparison of Innovation Diffusion Models : A Case Study on the DRAM Industry, 2012 IEEE International Conference on Fuzzy Systems, June 10-15, Brisbane.
[20] Jing-Rung Yu and Wen-Yi Lee# and Chin-Lung Lee# (2011), A Fuzzy Goal Programming
Model for Time Series Forecasting, The 8th International Symposium of Management Engineering, August 22-25, Taipei, Taiwan. (Excellent Paper Award)
[21] Jing-Rung Yu and Fan-Meng Tzeng (2010), Market share forecasting by using fuzzy multiple objective piecewise logistic model and Delphi method, 24th European Conference on Operational Research, July 11-14, Lisbon, Portugal.
[22] Jing-Rung Yu and Wen-Yi Lee# (2010), A diversified portfolio model by using multiple bjective programming, International Symposium on Financial Engineering and Risk Management, June 10-12, National Taiwan University, Taiwan.
[23] Jing-Rung Yu and Wen-Yi Lee# (2009), Portfolio rebalancing model with transaction costs using multiple criteria, The 3rd Annual Financial Engineering and Risk Management Conference, January 15, Chiao Tung University, Taiwan. (Invited paper)
[24] Jing-Rung Yu and Fan-Meng Tzeng (2009), Fuzzy Piecewise Logistic Regression Model for New Product Sales Forecasting, Global Conference on Business and Finance Proceedings, 4,(1) 166-168, The 2009 Atlantic City Global Conference on Business and Finance, January 6-9, Atlantic City, USA.
[25] Jing-Rung Yu and Chang-Hsueh Huang#, Pei-Wen Chiou# and Jia-Zhen Yhen# (2009), The Comparisons of Bank Credit Rating Methods , The 20th International Conference on Information Management 2009, May 23, Shih Hsin Univerity, Taiwan. (Chinese)
[26] Jing-Rung Yu and Ju-Yin Cho# (2007), Portfolio selection with multi-criteria decision making, INFORMS 2008, Oct. 12-15, Washington DC, USA.
[27] Jing-Rung Yu and Chin-Lung Lee# (2008), Fuzzy Goal Programming/Serial Correlation model for predicted interval time series data, The 19th International Conference on Information Management 2008, May 16-17, Nantou, Taiwan. (Chinese)
[28] Jing-Rung Yu and Hao-Hsiang Wang#, Multiple Criteria Decision Making and De Novo Programming in Portfolio Selection, Special Session on Innovative Computing on Finance for the Second International Conference on Innovative Computing, Information and Control , September 5 - 7, 2007, Kumamoto, Japan. (EI, ISTP, and INSPEC)
[29] Jing-Rung Yu and Chien-Wei Lee#, Piecewise Regression for Fuzzy Input-Output Data with Automatic Change-Point Detection from Quadratic Programming, 22ND European Conference on Operational Research, July 8-11, 2007, Prague, Czech.
[30] 余菁蓉，顏嘉臻#，邱珮紋# (2007)﹐系統設計之規劃法應用於投資組合整合決策模式，2007年生產力成長與效率衡量學術研討會與高階演講系列，中央研究院經濟研究所。
[31] Jing-Rung Yu (2006), IDEA with ideal point by multiple objective programming, The Third International Symposium on Management Engineering, Waseda University, Kitakyushu, Japan.
[32] Jing-Rung Yu, Gwo-Hshiung Tzeng and Chin-I Chiang (2004), Fuzzy multiple objective DEA for supplier rating in semiconductor manufacturing industry, The 17th International Conference on Multiple Criteria Decision Analysis, Whistler, Canada.
[33] 余菁蓉﹐鄭書季#﹐李建瑋# (2005), 多目標模糊偏好規劃法求解AHP及ANP優先權重，十三屆全國模糊理論與其應用研討會，高雄應用科技大學。
[34] 余菁蓉﹐李建瑋#﹐張敬偉#﹐李偉成#﹐陳俊儀#﹐楊家豪# (2004)﹐多目標資料包絡分析法在不精確資料的運用，第一屆台灣作業研究學會學術研討會，台北科技大學。
[35] 蔡劍霞#, 王懿德#, 余菁蓉, 俞旭昇 (2004), 判別分析應用於台灣上市公司之股價表現─以半導體業、光電材料及元件業為例，第一屆台灣作業研究學會學術研討會，台北科技大學。
[36] Han-Lin Li, Nian-Ze Hu, Jing-Rung Yu, Jung-Fa Tsai (2000), A design of a global optimization package using piecewise linearization techniques, The 5th Annual International Conference of Industrial Engineering Theory, Applications and Practice, Taiwan.
[37] H.-Y. Kao, C.-H. Huang, Jing-Rung Yu, Han-Lin Li (2000), Business adoption of internet-enabled SCM Systems - A transformation dynamics, The Eleventh National Conference on Information Management, Taiwan.
[38] 黎漢林, 張李志平, 余菁蓉, 陳孟敏 (2000), 以領域圈及領域球展現習慣領域，中華民國習慣領域第八屆研討會論文集，頁4-1, 4-8。
[39] 余菁蓉, 曾彥鈞# (2000), 利用約略集合與逐步判別分析產生推理規則, 銘傳大學新世紀新思維國際學術研討會。
[40] 陳信宏#﹐余菁蓉，謝清佳 (2000)﹐網站設計對網路使用滿意度之影響，銘傳大學新世紀新思維國際學術研討會。