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Mathematical programming
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1
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Operations research
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INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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A partitioning algorithm for Markov decision processes with applications to market microstructure
Chen, Ningyuan
;
Kou, Steven
;
Wang, Chun
- In:
Management science : journal of the Institute for …
64
(
2018
)
2
,
pp. 784-803
Persistent link: https://www.econbiz.de/10011823146
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2
General bounds and finite-time improvement for the Kiefer-Wolfowitz stochastic approximation algorithm
Broadie, Mark
;
Cicek, Deniz
;
Zeevi, Assaf
- In:
Operations research
59
(
2011
)
5
,
pp. 1211-1224
Persistent link: https://www.econbiz.de/10010217832
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3
Management science modeling
Albright, S. C.
;
Winston, Wayne L.
-
2007
-
Internat. student ed.
Persistent link: https://www.econbiz.de/10003401818
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4
High-dimensional portfolio optimization with transaction costs
Broadie, Mark
;
Shen, Weiwei
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-49
Persistent link: https://www.econbiz.de/10011523840
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5
Tractable sampling strategies for ordinal optimization
Shin, Dongwook
;
Broadie, Mark
;
Zeevi, Assaf
- In:
Operations research
66
(
2018
)
6
,
pp. 1693-1712
Persistent link: https://www.econbiz.de/10011972263
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6
Numerical solutions to dynamic portfolio problems with upper bounds
Broadie, Mark
;
Shen, Weiwei
- In:
Computational Management Science : CMS
14
(
2017
)
2
,
pp. 215-227
Persistent link: https://www.econbiz.de/10011710759
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7
Practical nonparametric sampling strategies for quantile-based ordinal optimization
Shin, Dongwook
;
Broadie, Mark
;
Zeevi, Assaf
- In:
INFORMS journal on computing : JOC ; charting new …
34
(
2022
)
2
,
pp. 752-768
Persistent link: https://www.econbiz.de/10013361348
Saved in:
8
Design of risk weights
Glasserman, Paul
;
Kang, Wanmo
- In:
Operations research
62
(
2014
)
6
,
pp. 1204-1220
Persistent link: https://www.econbiz.de/10010471872
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9
Additive and multiplicative duals for American option pricing
Chen, Nan
;
Glasserman, Paul
- In:
Finance and stochastics
11
(
2007
)
2
,
pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
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