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  • Search: subject:"Quadratic optimisation"
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Year of publication
Subject
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Mathematical programming 2 Mathematische Optimierung 2 Theorie 2 Theory 2 Deterministic Strategies 1 Ganzzahlige Optimierung 1 Hedging 1 Integer programming 1 Mean-Variance Hedging 1 Mean-Variance Portfolio Selection 1 Multi-criteria analysis 1 Multikriterielle Entscheidungsanalyse 1 Partial Information 1 Portfolio selection 1 Portfolio-Management 1 Quadratic Optimisation Problems 1 Quadratic optimisation 1 Restricted Information 1 Type (A) Semimartingales 1 efficient solutions set 1 multiple objective integer programming 1 optimization over an efficient set 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Badjara, Mohamed El-Amine 1 Chergui, Mohamed El-Amine 1 Schweizer, Martin 1 Zivoi, Danijel 1 Ṥikić, Mario 1
Published in...
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Journal of the Operational Research Society 1 Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Optimizing a linear function over the efficient set of a multiple objective integer quadratic program
Badjara, Mohamed El-Amine; Chergui, Mohamed El-Amine - In: Journal of the Operational Research Society 76 (2025) 6, pp. 1177-1188
Persistent link: https://www.econbiz.de/10015551668
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Cover Image
Dynamic mean-variance optimisation problems with deterministic information
Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - 2017 - This version: September 29, 2017
We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G which models the information available for...
Persistent link: https://www.econbiz.de/10011865489
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