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Optimal household behaviour under taxation : a two-stage dynamic programming approach
Stern, Victor - 1980
Persistent link: https://www.econbiz.de/10001561889
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Standardmodell zur Analyse und Planung ökonomischer Problemlagen privater Haushalte
Seel, Barbara - 1992
Persistent link: https://www.econbiz.de/10013354766
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A Hybrid Optimization and Data-Driven Approach to Understand the Role of the Risk-Aversion Profile Parameter in Portfolio Optimization Problems with Shorting Constraints
Fernandez-Navarro, Francisco; Carbonero-Ruz, Mariano; … - 2023
This study contributes to the optimization literature with an approach that would help investors understand how the risk-aversion profile hyper-parameter affects both excess returns, risk, and the Sharpe index curves in portfolio optimization problems with shorting constraints. These curves were...
Persistent link: https://www.econbiz.de/10014360197
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Production planning with risk hedging under a conditional value at risk objective
Wang, Liao; Yao, David D. - In: Operations research 71 (2023) 4, pp. 1055-1072
Persistent link: https://www.econbiz.de/10014338036
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Dual SDDP for risk-averse multistage stochastic programs
Costa, Bernardo Freitas Paulo da; Leclère, Vincent - In: Operations research letters 51 (2023) 3, pp. 332-337
Persistent link: https://www.econbiz.de/10014374928
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Risk-averse multistage stochastic programs with expected conditional risk measures
Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10015066893
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Utility maximization, risk aversion, and stochastic dominance
Beiglböck, Mathias; Muhle-Karbe, Johannes; Temme, Johannes - 2011
at the expense of a more widespread distribution. Dybvig and Wang [J. Econ. Theory, 2011, to appear] find that this idea …
Persistent link: https://www.econbiz.de/10009009482
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Risk-averse asymptotics for reservation prices
Carassus, Laurence; Rásonyi, Miklós - In: Annals of finance 7 (2011) 3, pp. 375-387
Persistent link: https://www.econbiz.de/10009248120
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Optimal portfolio positioning under ambiguity
Ben Ameur, H.; Prigent, Jean-Luc - In: Economic modelling 34 (2013), pp. 89-97
Persistent link: https://www.econbiz.de/10010361938
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Portfoliooptimierung nach Tobin
Specht, Katja; Gohout, Wolfgang - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 38 (2009) 12, pp. 1609-1614
Persistent link: https://www.econbiz.de/10003910605