Similar Search Results

Hidden Markov models for financial optimization problems

Roman, Diana; Mitra, Gautam; Spagnolo, Nicola - In: IMA journal of management mathematics 21 (2010) 2, pp. 111-129

Persistent link: https://www.econbiz.de/10003984220

HMM based scenario generation for an investment optimisation problem

Erlwein, Christina; Mitra, Gautam; Roman, Diana - 2012

Persistent link: https://www.econbiz.de/10009620486

Long-short portfolio optimization in the presence of discrete asset choice constraints and two risk measures

Kumar, Ritesh; Mitra, Gautam; Roman, Diana - In: Journal of risk 13 (2010/11) 2, pp. 71-100

Persistent link: https://www.econbiz.de/10008807862

Novel approaches for portfolio construction using second order stochastic dominance

Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10011710779

Enhanced Indexation Based on Second-Order Stochastic Dominance

Roman, Diana - 2011

Second order Stochastic Dominance (SSD) has a well recognised importance in portfolio selection, since it provides a natural interpretation of the theory of risk-averse investor behaviour. Recently, SSD-based models of portfolio choice have been proposed; these assume that a reference distribution...

Persistent link: https://www.econbiz.de/10013128873

Enhanced indexation based on second-order stochastic dominance

Roman, Diana; Mitra, Gautam; Zverovich, Victor - In: European journal of operational research : EJOR 228 (2013) 1, pp. 273-281

Persistent link: https://www.econbiz.de/10009734111

Finding better starting bases for the simplex method

Maros, Istvan - In: Selected papers of the Symposium on Operations Research …, (pp. 7-12). 1996

Persistent link: https://www.econbiz.de/10001318181

Risk and return analysis of a multiperiod strategic planning problem

Lucas, Cormac - In: Stochastic modelling in innovative manufacturing : …, (pp. 81-96). 1997

Persistent link: https://www.econbiz.de/10001319855

An enumerative method for the solution of linear complementarity problems

Júdice, J. J. - In: European journal of operational research : EJOR 1 (1988), pp. 122-128

Persistent link: https://www.econbiz.de/10001065823

A linear and discrete programming framework for representing qualitative knowledge

Hadjiconstantinou, Eleni - In: Journal of economic dynamics & control 18 (1994) 1, pp. 273-297

Persistent link: https://www.econbiz.de/10001148499

1
2
3
4
5
6
7
8
Next
Last