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The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.; Blomvall, Jörgen; Ekblom, Jonas - In: Quantitative finance 22 (2022) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
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Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior
Birge, John R.; Chávez-Bedoya, Luis - In: Quantitative finance 21 (2021) 2, pp. 199-219
Persistent link: https://www.econbiz.de/10012424559