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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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Restless bandits, linear programming relaxations and a primal-dual index heuristic
Bertsimas, Dimitris (contributor);  … - 1998 - Rev
Persistent link: https://www.econbiz.de/10000989311
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Optimization of multiclass queueing networks with changeover times via the achievable region method
Bertsimas, Dimitris (contributor);  … - 1998
Persistent link: https://www.econbiz.de/10000989312
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The single-station case
Bertsimas, Dimitris (contributor);  … - 1998
Persistent link: https://www.econbiz.de/10000989313
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Moment problems via semidefinite programming : applications in probability and finance
Popescu, Ioana; Bertsimas, Dimitris - 2000
Persistent link: https://www.econbiz.de/10001497375
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Shortfall as a risk measure : properties, optimization and applications
Bertsimas, Dimitris; Lauprete, Geoffrey J.; Samarov, … - In: Journal of economic dynamics & control 28 (2004) 7, pp. 1353-1381
Persistent link: https://www.econbiz.de/10001880835
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Approximating integrals of multivariate exponentials : a moment approach
Bertsimas, Dimitris; Doan, Xuan Vinh; Lasserre, Jean - In: Operations research letters 36 (2008) 2, pp. 205-210
Persistent link: https://www.econbiz.de/10003773640
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Robust multiperiod portfolio management in the presence of transaction costs
Bertsimas, Dimitris; Pachamanova, Dessislava A. - In: Computers & operations research : and their … 35 (2008) 1, pp. 3-17
Persistent link: https://www.econbiz.de/10003665715
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Reformulation versus cutting-planes for robust optimization : a computational study
Bertsimas, Dimitris; Dunning, Iain; Lubin, Miles - In: Computational Management Science : CMS 13 (2016) 2, pp. 195-217
Persistent link: https://www.econbiz.de/10011669261
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The benefit of uncertainty coupling in robust and adaptive robust optimization
Bertsimas, Dimitris; Na, Liangyuan; Stellato, Bartolomeo; … - In: INFORMS journal on optimization 7 (2025) 2, pp. 105-141
Persistent link: https://www.econbiz.de/10015423407