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A dynamic programming approach to constrained portfolios

Kraft, Holger; Steffensen, Mogens - 2012

This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that...

Persistent link: https://www.econbiz.de/10010311801

Robust modified policy iteration

Kaufman, David L.; Schaefer, Andrew J. - In: INFORMS journal on computing : JOC 25 (2013) 3, pp. 396-410

Persistent link: https://www.econbiz.de/10009784076

Algorithmic aspects of mean–variance optimization in Markov decision processes

Mannor, Shie; Tsitsiklis, John N. - In: European journal of operational research : EJOR 231 (2013) 3, pp. 645-653

Persistent link: https://www.econbiz.de/10009787362

Optimal workflow decisions for investigators in systems with interruptions

Dobson, Gregory; Tezcan, Tolga; Tilson, Vera - In: Management science : journal of the Institute for … 59 (2013) 5, pp. 1125-1141

Persistent link: https://www.econbiz.de/10009751183

Approximate dynamic programming for stochastic linear control problems on compact state spaces

Wörner, Stefan; Laumanns, Marco; Zenklusen, Rico; … - In: European journal of operational research : EJOR 241 (2015) 1, pp. 85-98

Persistent link: https://www.econbiz.de/10010486896

Lending decisions with limits on capital available : the polygamous marriage problem

So, Mee Chi; Thomas, Lyn C.; Huang, Bo - In: European journal of operational research : EJOR 249 (2016) 2, pp. 407-416

Persistent link: https://www.econbiz.de/10011436692

Extensions of the sequential stochastic assignment problem

Khatibi, Arash; Baharian, Golshid; Behzad, Banafsheh; … - In: Mathematical methods of operations research 82 (2015) 3, pp. 317-340

Persistent link: https://www.econbiz.de/10011405954

Debtor level collection operations using Bayesian dynamic programming

So, Mee Chi; Mues, Christophe; Almeida-Filho, Adiel T. de; … - In: Journal of the Operational Research Society 70 (2019) 8, pp. 1332-1348

Persistent link: https://www.econbiz.de/10012214217

A multi-fidelity rollout algorithm for dynamic resource allocation in population disease management

Ho, Ting-Yu; Liu, Shan; Zabinsky, Zelda B. - In: Health care management science 22 (2019) 4, pp. 727-755

Persistent link: https://www.econbiz.de/10012125600

A low-rank approximation for MDPs via moment coupling

Zhang, Amy B. Z.; Gurvich, Itai - In: Operations research 72 (2024) 3, pp. 1255-1277

Persistent link: https://www.econbiz.de/10014557562