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~isPartOf:"International journal of financial engineering"
~subject:"Control theory"
~subject:"Mathematical programming"
~type_genre:"Article in journal"
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Control theory
Mathematical programming
Portfolio selection
58
Portfolio-Management
58
Theorie
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Theory
31
Stochastic process
15
Stochastischer Prozess
15
Option pricing theory
14
Optionspreistheorie
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Leung, Tim
2
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Frénod, Emmanuel
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International journal of financial engineering
European journal of operational research : EJOR
122
Finance and stochastics
36
Insurance / Mathematics & economics
35
International journal of theoretical and applied finance
34
Mathematical finance : an international journal of mathematics, statistics and financial theory
27
Quantitative finance
27
Computers & operations research : and their applications to problems of world concern ; an international journal
26
Computational economics
25
Finance research letters
23
Journal of mathematical finance
22
Mathematics and financial economics
22
Journal of the Operational Research Society
20
Journal of economic dynamics & control
19
OR spectrum : quantitative approaches in management
17
Journal of banking & finance
16
Operations research letters
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Mathematical methods of operations research
15
Operations research
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Applied mathematical finance
14
Computational Management Science : CMS
14
Operational research : an international journal
14
Risks : open access journal
14
The journal of asset management
14
Mathematics of operations research
12
Omega : the international journal of management science
12
Journal of risk and financial management : JRFM
11
Annals of finance
10
Economic modelling
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
International transactions in operational research : a journal of the International Federation of Operational Research Societies
9
Journal of the Operational Research Society : OR
9
Operations research perspectives
9
Scandinavian actuarial journal
9
Asia-Pacific financial markets
8
The European journal of finance
8
Computational management science
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
INFOR : information systems and operational research
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INFORMS journal on computing : JOC
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1
Optimal loan portfolio under regulatory and internal constraints
Okawara, Makoto
;
Takahashi, Akihiko
- In:
International journal of financial engineering
10
(
2023
)
4
,
pp. 1-44
Persistent link: https://www.econbiz.de/10014444676
Saved in:
2
Optimal dynamic futures portfolio in a regime-switching market framework
Leung, Tim
;
Zhou, Yang
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012314525
Saved in:
3
Optimal trading : the importance of being adaptive
Bellani, Claudio
;
Brigo, Damiano
;
Done, Alex
;
Neuman, Eyal
- In:
International journal of financial engineering
8
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012815097
Saved in:
4
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Shoshi, Humayra
;
SenGupta, Indranil
- In:
International journal of financial engineering
8
(
2021
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012815115
Saved in:
5
Optimal portfolio in the presence of transaction costs and convex risk measure
Doctor, O.
;
Offen, E. R.
;
Lungu, E. M.
- In:
International journal of financial engineering
4
(
2017
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011807095
Saved in:
6
A stochastic control approach to managed futures portfolios
Leung, Tim
;
Yan, Raphael
- In:
International journal of financial engineering
6
(
2019
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012028856
Saved in:
7
Forecasting plausible scenarios and losses in interest rate targeting using mathematical optimization
Tanaka, Katsuhiro
- In:
International journal of financial engineering
6
(
2019
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012314512
Saved in:
8
An analytical solution for the HJB equation arising from the Merton problem
Zhu, Song-Ping
;
Ma, Guiyuan
- In:
International journal of financial engineering
5
(
2018
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011922966
Saved in:
9
Inverse problem and concentration method of a continuous-in-time financial model
Chakkour, Tarik
;
Frénod, Emmanuel
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011577116
Saved in:
10
RAROC in
portfolio
optimization
Xidonas, Panagiotis
;
Kountzakis, Christos E.
;
Hassapis, …
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011588136
Saved in:
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