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Optimal consumption and investment problems under GARCH with transaction costs
Chen, Zhiping; Yuen, K.C. - In: Mathematical methods of operations research 61 (2005) 2, pp. 219-238
Persistent link: https://www.econbiz.de/10006607247
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Postoptimality for mean-risk stochastic mixed-integer programs and its application
Chen, Zhiping; Zhang, Feng; Yang, Li - In: Mathematical methods of operations research 74 (2011) 3, pp. 445-466
Persistent link: https://www.econbiz.de/10009800151
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Quantitative stability of mixed-integer two-stage quadratic stochastic programs
Chen, Zhiping; Han, Youpan - In: Mathematical methods of operations research 75 (2012) 2, pp. 149-164
Persistent link: https://www.econbiz.de/10009978590
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Optimal consumption and investment problems under GARCH with transaction costs
Chen, Zhiping; Yuen, K. C. - In: Mathematical methods of operations research 61 (2005) 2, pp. 219-237
Persistent link: https://www.econbiz.de/10002858605
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Postoptimality for mean-risk stochastic mixed-integer programs and its application
Chen, Zhiping; Zhang, Feng; Li Yang - In: Mathematical methods of operations research 74 (2011) 3, pp. 445-465
Persistent link: https://www.econbiz.de/10009405059
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Quantitative stability of mixed-integer two-stage quadratic stochastic programs
Chen, Zhiping; Han, Youpan - In: Mathematical methods of operations research 75 (2012) 2, pp. 149-163
Persistent link: https://www.econbiz.de/10009533448
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Incomplete markets with jumps and informed agents
Elliott, Robert J.; Jeanblanc, Monique - In: Mathematical methods of operations research 50 (1999) 3, pp. 475-492
Persistent link: https://www.econbiz.de/10006625969
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Short rate analysis and marked point processes
Elliott, Robert J.; Tsoi, Allanus H.; Lui, Shiu Hong - In: Mathematical methods of operations research 50 (1999) 1, pp. 149
Persistent link: https://www.econbiz.de/10006626815