Narrow search
Showing 1 - 10 of 724
Cover Image
E-strong simulation of fractional brownian motion and related stochastic differential equations
Chen, Yi; Dong, Jing; Ni, Hao - In: Mathematics of operations research 46 (2021) 2, pp. 559-594
Persistent link: https://www.econbiz.de/10012582184
Cover Image
Proper efficiency and tradeoffs in multiple criteria and stochastic optimization
Engau, Alexander - In: Mathematics of operations research 42 (2017) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10011654582
Cover Image
Solving nonsmooth and nonconvex compound stochastic programs with applications to risk measure minimization
Liu, Junyi; Cui, Ying; Pang, Jong-Shi - In: Mathematics of operations research 47 (2022) 4, pp. 3051-3083
Persistent link: https://www.econbiz.de/10014311398
Cover Image
Optimal consumption and investment with independent stochastic labor income
Bensoussan, Alain; Park, Seyoung - In: Mathematics of operations research 50 (2025) 1, pp. 356-389
Persistent link: https://www.econbiz.de/10015211707
Cover Image
An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
Cover Image
Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Mathematics of operations research 43 (2018) 2, pp. 347-376
Persistent link: https://www.econbiz.de/10011868609
Cover Image
Risk-averse approximate dynamic programming with quantile-based risk measures
Jiang, Daniel R.; Powell, Warren B. - In: Mathematics of operations research 43 (2018) 2, pp. 554-579
Persistent link: https://www.econbiz.de/10011868618
Cover Image
Optimal credit investment with borrowing costs
Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 2, pp. 546-575
Persistent link: https://www.econbiz.de/10011684545
Cover Image
Continuous-time portfolio choice under monotone mean-variance preferences : stochastic factor case
Trybuła, Jakub; Zawisza, Dariusz - In: Mathematics of operations research 44 (2019) 3, pp. 966-987
Persistent link: https://www.econbiz.de/10012105828
Cover Image
A stochastic portfolio optimization model with bounded memory
Chang, Mou-hsiung; Pang, Tao; Yang, Yipeng - In: Mathematics of operations research 36 (2011) 4, pp. 604-619
Persistent link: https://www.econbiz.de/10009405906