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~person:"Chen, Zhiping"
~person:"Pham, Huyên"
~person:"Shapiro, Alexander"
~subject:"Dynamische Optimierung"
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Dynamische Optimierung
Stochastic process
38
Stochastischer Prozess
38
Theorie
31
Theory
31
Mathematical programming
22
Mathematische Optimierung
22
Dynamic programming
16
Control theory
7
Kontrolltheorie
7
Portfolio selection
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Portfolio-Management
7
Risikoaversion
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Risk aversion
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Stochastic programming
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Risk
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Markov chain
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Time consistency
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Robustes Verfahren
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Multistage stochastic programming
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16
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Chen, Zhiping
Pham, Huyên
Shapiro, Alexander
Ulmer, Marlin Wolf
8
Stein, Jerome L.
7
Dekker, Rommert
6
Ljungqvist, Lars
6
Barro, Diana
5
Brown, David B.
5
Canestrelli, Elio
5
Escudero, Laureano F.
5
Guigues, Vincent
5
Liang, Zongxia
5
Björk, Tomas
4
Consigli, Giorgio
4
Dempster, Michael A. H.
4
Guan, Guohui
4
Mattfeld, Dirk C.
4
Murgoci, Agatha
4
Powell, Warren B.
4
Sargent, Thomas J.
4
Zéphyr, Luckny
4
Atakan, Alp
3
Balseiro, Santiago R.
3
Bertocchi, Marida
3
Bertsekas, Dimitri P.
3
Cerqueti, Roy
3
Cheng, Yi
3
Dawande, Milind
3
Dowson, Oscar
3
Feng, Qi
3
Frenk, Johannes G.
3
Freund, Daniel
3
Gülpınar, Nalân
3
Janakiraman, Ganesh
3
Kamihigashi, Takashi
3
Lang, Pascal
3
Löhndorf, Nils
3
Monge, Juan F.
3
Pflug, Georg
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European journal of operational research : EJOR
4
Operations research
3
Operations research letters
2
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
Mathematical methods of operations research
1
Mathematical modeling and numerical methods in finance : special volume
1
Quantitative finance
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ECONIS (ZBW)
16
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1
Risk-averse stochastic optimal control : An efficiently computable statistical upper bound
Guigues, Vincent
;
Shapiro, Alexander
;
Cheng, Yi
- In:
Operations research letters
51
(
2023
)
4
,
pp. 393-400
Persistent link: https://www.econbiz.de/10014426574
Saved in:
2
Dual bounds for periodical stochastic programs
Shapiro, Alexander
;
Cheng, Yi
- In:
Operations research
71
(
2023
)
1
,
pp. 120-128
Persistent link: https://www.econbiz.de/10014308404
Saved in:
3
Risk-averse stochastic programming : time consistency and optimal stopping
Pichler, Alois
;
Liu, Rui Peng
;
Shapiro, Alexander
- In:
Operations research
70
(
2022
)
4
,
pp. 2439-2455
Persistent link: https://www.econbiz.de/10013366477
Saved in:
4
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
Ji, Bingbing
;
Chen, Zhiping
;
Consigli, Giorgio
;
Yan, Zhe
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1759-1784
Persistent link: https://www.econbiz.de/10013367945
Saved in:
5
Central limit theorem and sample complexity of stationary stochastic programs
Shapiro, Alexander
;
Cheng, Yi
- In:
Operations research letters
49
(
2021
)
5
,
pp. 676-681
Persistent link: https://www.econbiz.de/10013207426
Saved in:
6
Risk neutral reformulation approach to risk averse stochastic programming
Liu, Rui Peng
;
Shapiro, Alexander
- In:
European journal of operational research : EJOR
286
(
2020
)
1
,
pp. 21-31
Persistent link: https://www.econbiz.de/10012239878
Saved in:
7
Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Chen, Zhiping
;
Yang, Peng
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 27-46
Persistent link: https://www.econbiz.de/10012242037
Saved in:
8
Modeling time-dependent randomness in stochastic dual dynamic programming
Löhndorf, Nils
;
Shapiro, Alexander
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 650-661
Persistent link: https://www.econbiz.de/10011987574
Saved in:
9
Rectangular sets of probability measures
Shapiro, Alexander
- In:
Operations research
64
(
2016
)
2
,
pp. 528-541
Persistent link: https://www.econbiz.de/10011485624
Saved in:
10
Explicit investment rules with time-to-build and uncertainty
Aïd, René
;
Federico, Salvatore
;
Pham, Huyên
; …
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 240-256
Persistent link: https://www.econbiz.de/10011474400
Saved in:
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