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Bayesian estimation of long-run risk models using sequential Monte Carlo

Fulop, Andras; Heng, Jeremy; Li, Junye; Liu, Hening - In: Journal of econometrics 228 (2022) 1, pp. 62-84

Persistent link: https://www.econbiz.de/10013441725

Robust price optimization of multiple products under interval uncertainties

Hamzeei, Mahdi; Lim, Alvin; Xu, Jiefeng - In: Journal of revenue and pricing management 21 (2022) 4, pp. 442-454

Persistent link: https://www.econbiz.de/10013390553

Hub location problem considering spoke links with incentive-dependent capacities

Zheng, Yujing; Ji, Yuxiong; Shen, Yu; Liu, Bing; Du, Yuchuan - In: Computers & operations research : and their … 148 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013482951

Disjoint bilinear optimization : a two-stage robust optimization perspective

Zhen, Jianzhe; Marandi, Ahmadreza; Moor, Danique de; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 5, pp. 2410-2427

Persistent link: https://www.econbiz.de/10014325410

A classifier to decide on the linearization of mixed-integer quadratic problems in CPLEX

Bonami, Pierre; Lodi, Andrea; Zarpellon, Giulia - In: Operations research 70 (2022) 6, pp. 3303-3320

Persistent link: https://www.econbiz.de/10014307820

Conditional Davis pricing

Larsen, Kasper; Soner, Halil Mete; Zitkovic, Gordan - 2018

We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non-replicable random endowment. We provide an example showing that even in the simplest of settings - such as Samuelson's geometric Brownian motion model - the interval of marginal...

Persistent link: https://www.econbiz.de/10011899936