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  • Search: subject:"Parametric linear programming"
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Year of publication
Subject
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Parametric linear programming 8 analytic central path 6 sensitivity analysis 6 Mathematische Optimierung 4 Theorie 4 Mathematical programming 3 Theory 3 Dynamic programming 1 Dynamische Optimierung 1 Halfspace depth 1 Hedging 1 Incomplete market 1 Linear programming 1 Measurement 1 Messung 1 Multiple-output regression 1 Nondifferentiable programming 1 Portfolio selection 1 Portfolio-Management 1 Quantile regression 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Stochastic process 1 Stochastischer Prozess 1 Unvollkommener Markt 1 linear programming 1 local risk-minimizing strategies 1 parametric linear programming 1 partial hedging 1 risk measures 1 stochastic dynamic programming 1
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Online availability
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Free 6 Undetermined 3
Type of publication
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Book / Working Paper 6 Article 3
Type of publication (narrower categories)
All
Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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Undetermined 5 English 4
Author
All
Holder, A.G. 5 Sturm, J.F. 5 Zhang, S. 4 De Wolf, Daniel 1 Gaillardetz, Patrice 1 Hachem, Saeb 1 Holder, A. G. 1 Paindaveine, Davy 1 Smeers, Yves 1 Sturm, Jos F. 1 Zhang, Shuzhong 1 Zhang, Zhang, S. 1 Šiman, Miroslav 1
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Institution
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Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Tinbergen Institute 1 Tinbergen Instituut 1
Published in...
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Tinbergen Institute Discussion Papers 2 Computational Statistics & Data Analysis 1 Discussion paper / Tinbergen Institute 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 European journal of operational research : EJOR 1 IMA journal of management mathematics 1 Tinbergen Institute Discussion Paper 1
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Source
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RePEc 5 ECONIS (ZBW) 3 EconStor 1
Showing 1 - 9 of 9
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Dynamic hedging in incomplete markets using risk measures
Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10012798787
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Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients
De Wolf, Daniel; Smeers, Yves - In: European journal of operational research : EJOR 291 (2021) 2, pp. 491-496
Persistent link: https://www.econbiz.de/10012495348
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Computing multiple-output regression quantile regions
Paindaveine, Davy; Šiman, Miroslav - In: Computational Statistics & Data Analysis 56 (2012) 4, pp. 840-853
A procedure relying on linear programming techniques is developed to compute (regression) quantile regions that have been defined recently. In the location case, this procedure allows for computing halfspace depth regions even beyond dimension two. The corresponding algorithm is described in...
Persistent link: https://www.econbiz.de/10011056415
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Analytic central path, sensitivity analysis and parametric linear programming
Holder, A.G.; Sturm, J.F.; Zhang, Zhang, S. - Faculteit der Economische Wetenschappen, Erasmus … - 1998
parametric linear programming. We first show that if the right-hand side vector of a standard linear program is perturbed, then …
Persistent link: https://www.econbiz.de/10011149270
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Analytic Central Path, Sensitivity Analysis and Parametric Linear Programming
Holder, A.G.; Sturm, J.F.; Zhang, S. - Tinbergen Institute - 1998
parametric linear programming. We first show that if the right-hand side vector of a standard linear program is perturbed, then …
Persistent link: https://www.econbiz.de/10005282021
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Analytic central path, sensitivity analysis and parametric linear programming
Holder, A.G.; Sturm, J.F.; Zhang, S. - Erasmus University Rotterdam, Econometric Institute - 1998
parametric linear programming. We first show that if the right-hand side vector of a standard linear program is perturbed, then …
Persistent link: https://www.econbiz.de/10008570625
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Analytic Central Path, Sensitivity Analysis and Parametric Linear Programming
Holder, A.G.; Sturm, J.F.; Zhang, S. - 1998
parametric linear programming. We first show that if the right-hand sidevector of a standard linear program is perturbed, then …
Persistent link: https://www.econbiz.de/10010324498
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Analytic Central Path, Sensitivity Analysis and Parametric Linear Programming
Holder, A.G.; Sturm, J.F.; Zhang, S. - Tinbergen Instituut - 1998
parametric linear programming. We first show that if the right-hand sidevector of a standard linear program is perturbed, then …
Persistent link: https://www.econbiz.de/10011255635
Saved in:
Cover Image
Analytic central path, sensitivity analysis and parametric linear programming
Holder, A. G.; Sturm, Jos F.; Zhang, Shuzhong - 1997
parametric linear programming. We first show that if the right-hand sidevector of a standard linear program is perturbed, then …
Persistent link: https://www.econbiz.de/10010372855
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