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Optimal annuity portfolio under inflation risk

Konicz, Agnieszka Karolina; Pisinger, David; … - In: Computational Management Science : CMS 12 (2015) 3, pp. 461-488

Persistent link: https://www.econbiz.de/10011285966

Optimal renewable resource harvesting model using price and biomass stochastic variations : a utility based approach

Clément, Nyassoke Titi Gaston; Kamdem, Jules Sadefo; … - In: Mathematical methods of operations research : ZOR 95 (2022) 2, pp. 297-326

Persistent link: https://www.econbiz.de/10013454885

CRRA utility maximization over a finite horizon in an exponential Levy model with finite activity

Baccarin, Stefano - 2024

Persistent link: https://www.econbiz.de/10014574104

Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Maximizing expected utility for stochastic combinatorial optimization problems

Li, Jian; Deshpande, Amol - In: Mathematics of operations research 44 (2019) 1, pp. 354-375

Persistent link: https://www.econbiz.de/10012001128

Portfolio choice algorithms, including exact stochastic dominance

Vinod, Hrishikesh D. - In: Journal of financial stability 70 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014490457

A class of portfolio optimization solvable problems

Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014472208

Polynomial utility

Lollike, Alexander Sevel; Steffensen, Mogens - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-28

Persistent link: https://www.econbiz.de/10014500193

Stationary points of a shallow neural network with quadratic activations and the global optimality of the gradient descent algorithm

Gamarnik, David; Kızıldağ, Eren C.; Zadik, Ilias - In: Mathematics of operations research 50 (2025) 1, pp. 209-251

Persistent link: https://www.econbiz.de/10015211673

An evaluation of the bihyperbolic function in the optimization of the backpropagation algorithm

Miguez, Geraldo; Xavier, Adilson Elias; Maculan F., Nelson - In: International transactions in operational research : … 21 (2014) 5, pp. 835-854

Persistent link: https://www.econbiz.de/10010413600