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~person:"Rüschendorf, Ludger"
~person:"Speranza, Maria Grazia"
~subject:"Mathematische Optimierung"
~subject:"Risikomaß"
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Mathematische Optimierung
Risikomaß
Theorie
84
Theory
84
Portfolio selection
35
Portfolio-Management
35
Mathematical programming
34
Tourenplanung
26
Vehicle routing problem
26
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25
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Rüschendorf, Ludger
Speranza, Maria Grazia
Hertog, Dirk den
52
Nesterov, Jurij Evgenʹevič
52
McAleer, Michael
50
Gendreau, Michel
49
Bertsimas, Dimitris
44
Drexl, Andreas
43
Pardalos, Panos M.
43
Zhang, Shuzhong
42
Escudero, Laureano F.
41
Kimms, Alf
41
Wang, Ruodu
40
Fabozzi, Frank J.
38
Kleijnen, Jack P. C.
37
Laporte, Gilbert
36
Lodi, Andrea
36
Dolgui, Alexandre
35
Härdle, Wolfgang
34
Puerto, Justo
34
Goerigk, Marc
33
Vanduffel, Steven
33
Drezner, Zvi
32
Spieksma, Frits C. R.
30
Wolsey, Laurence A.
30
Talman, Dolf
29
Ben-Tal, Aharon
27
Sethi, Suresh
27
Voß, Stefan
27
Figueira, José Rui
25
Hammoudeh, Shawkat
25
Labbé, Martine
25
Leus, Roel
25
Vial, Jean-Philippe
25
Delage, Erick
24
Dhaene, Jan
24
Li, Duan
24
Yang, Zaifu
24
Anjos, Miguel F.
23
Desaulniers, Guy
23
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IWDL <4, 1998, Brescia>
1
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European journal of operational research : EJOR
11
Computers & operations research : and their applications to problems of world concern ; an international journal
4
Insurance / Mathematics & economics
4
Lecture notes in economics and mathematical systems : LNEMS
3
Finance and stochastics
2
INFORMS journal on computing : JOC
2
Journal of banking & finance
2
Advances in distribution logistics
1
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1
EURO journal on computational optimization
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1
Financial modelling : recent research ; [selection of papers presented and discussed during the two Meetings held in 1992 of the EURO Working Group on Financial Modelling]
1
International transactions in operational research : ITOR ; a journal of the International Federation of Operational Research Societies (IFORS)
1
Journal of empirical finance
1
Journal of heuristics
1
Journal of risk
1
Mathematical methods of operations research
1
New trends in distribution logistics
1
Omega : the international journal of management science
1
Operations research proceedings 2006 : selected papers of the Annual International Conference of the German Operations Research Society (GOR), jointly organized with the Austrian Society of Operations Research (ÖGOR) and the Swiss Society of Operations Research (SVOR), Karlsruhe, September 6 - 8 2006 ; with 79 tables
1
Risk assessment : decisions in banking and finance
1
Risks : open access journal
1
Scandinavian actuarial journal
1
Stochastic optimization: theory and applications
1
The European journal of finance
1
The journal of risk and insurance : the journal of the American Risk and Insurance Association
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Transportation research / E : an international journal
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Working papers / TSE : WP
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ECONIS (ZBW)
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1
Linear models for portfolio selection and their application to the Milano stock market
Speranza, Maria Grazia
- In:
Financial modelling : recent research ; [selection of …
,
(pp. 320-333)
.
1994
Persistent link: https://www.econbiz.de/10001285716
Saved in:
2
Models and simulations for portfolio rebalancing
Guastaroba, Gianfranco
;
Mansini, Renata
;
Speranza, …
- In:
Computational economics
33
(
2009
)
3
,
pp. 237-262
Persistent link: https://www.econbiz.de/10003828842
Saved in:
3
Linear programming models for portfolio optimization
Speranza, Maria Grazia
- In:
Finance : revue de l'Association Française de Finance
14
(
1993
)
1
,
pp. 107-123
Persistent link: https://www.econbiz.de/10001151808
Saved in:
4
Linear programming models based on omega ratio for the enhanced index tracking problem
Guastaroba, Gianfranco
;
Mansini, Renata
;
Ogryczak, …
- In:
European journal of operational research : EJOR
251
(
2016
)
3
,
pp. 938-956
Persistent link: https://www.econbiz.de/10011449041
Saved in:
5
A heuristic framework for the bi-objective enhanced index tracking problem
Filippi, C.
;
Guastaroba, Gianfranco
;
Speranza, Maria Grazia
- In:
Omega : the international journal of management science
65
(
2016
),
pp. 122-137
Persistent link: https://www.econbiz.de/10011582044
Saved in:
6
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
7
Reducing model risk via positive and negative dependence assumptions
Bignozzi, Valeria
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 17-26
Persistent link: https://www.econbiz.de/10010515943
Saved in:
8
Value-at-risk bounds with variance constraints
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
The journal of risk and insurance : the journal of the …
84
(
2017
)
3
,
pp. 923-959
Persistent link: https://www.econbiz.de/10011749149
Saved in:
9
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
Saved in:
10
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
Saved in:
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