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Equilibrium pricing bounds on option prices

Chazal, Marie; Jouini, Elyès - In: Mathematics and financial economics 1 (2008) 3/4, pp. 251-281

Persistent link: https://www.econbiz.de/10003722530

Smeulders, Bart; Bartier, Valentin; Crama, Yves; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 2, pp. 1191-1206

Persistent link: https://www.econbiz.de/10013361508

Optimal investment : bounds and heuristics

Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011442629

Portfolio optimization in DC pension scheme with unhedgeable stochastic wage

Menoncin, Francesco; Vigna, Elena - 2025

Persistent link: https://www.econbiz.de/10015436802

Solving dynamic stochastic economic models by mathematical programming decomposition methods

Esteban-Bravo, Mercedes; Nogales, Francisco J. - In: Computers & operations research : and their … 35 (2008) 1, pp. 226-240

Persistent link: https://www.econbiz.de/10003665946

Stochastic modeling in economics and finance

Dupačová, Jitka - 2002

Persistent link: https://www.econbiz.de/10013420454

Two-stage stochastic linear programs with incomplete information on uncertainty

Ang, James; Meng, Fanwen; Sun, Jie - In: European journal of operational research : EJOR 233 (2014) 1, pp. 16-22

Persistent link: https://www.econbiz.de/10010224943

Stochastic linear optimization under partial uncertainty and incomplete information using the notion of probability multimeasure

La Torre, Davide; Mendivil, Franklin - In: Journal of the Operational Research Society 69 (2018) 10, pp. 1549-1556

Persistent link: https://www.econbiz.de/10012228245

Predicting tactical solutions to operational planning problems under imperfect information

Larsen, Eric; Lachapelle, Sébastien; Bengio, Yoshua; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 1, pp. 227-242

Persistent link: https://www.econbiz.de/10013358938

Multi-agent Robust Optimal Investment Problem in Incomplete Market

Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2022

This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...

Persistent link: https://www.econbiz.de/10014239212