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~isPartOf:"Mathematics of operations research"
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ECONIS (ZBW)
9
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1
Power forward performance in semimartingale markets with stochastic integrated factors
Bo, Lijun
;
Capponi, Agostino
;
Zhou, Chao
- In:
Mathematics of operations research
48
(
2023
)
1
,
pp. 288-312
Persistent link: https://www.econbiz.de/10014312552
Saved in:
2
Solving nonsmooth and nonconvex compound stochastic programs with applications to risk measure minimization
Liu, Junyi
;
Cui, Ying
;
Pang, Jong-shi
- In:
Mathematics of operations research
47
(
2022
)
4
,
pp. 3051-3083
Persistent link: https://www.econbiz.de/10014311398
Saved in:
3
Epi-regularization of risk measures
Kouri, Drew P.
;
Surowiec, Thomas M.
- In:
Mathematics of operations research
45
(
2020
)
2
,
pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
Saved in:
4
Continuous-time portfolio choice under monotone mean-variance preferences : stochastic factor case
Trybuła, Jakub
;
Zawisza, Dariusz
- In:
Mathematics of operations research
44
(
2019
)
3
,
pp. 966-987
Persistent link: https://www.econbiz.de/10012105828
Saved in:
5
Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach
Jin, Xing
;
Luo, Dan
;
Zeng, Xudong
- In:
Mathematics of operations research
43
(
2018
)
2
,
pp. 347-376
Persistent link: https://www.econbiz.de/10011868609
Saved in:
6
Optimal dynamic risk taking
Subramanian, Ajay
;
Yang, Baozhong
- In:
Mathematics of operations research
42
(
2017
)
3
,
pp. 599-625
Persistent link: https://www.econbiz.de/10011742432
Saved in:
7
An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter
- In:
Mathematics of operations research
39
(
2014
)
4
,
pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
Saved in:
8
Convex duality in stochastic optimization and mathematical finance
Pennanen, Teemu
- In:
Mathematics of operations research
36
(
2011
)
2
,
pp. 340-362
Persistent link: https://www.econbiz.de/10009162067
Saved in:
9
A stochastic portfolio optimization model with bounded memory
Chang, Mou-hsiung
;
Pang, Tao
;
Yang, Yipeng
- In:
Mathematics of operations research
36
(
2011
)
4
,
pp. 604-619
Persistent link: https://www.econbiz.de/10009405906
Saved in:
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