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Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 2090-2109

Persistent link: https://www.econbiz.de/10011520389

Risk-averse regret minimization in multi-stage stochastic programs

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Technical note: risk-averse regret minimization in multistage stochastic programs

Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - In: Operations research 72 (2024) 4, pp. 1727-1738

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Robust optimization of currency portfolios

Fonseca, Raquel J.; Zymler, Steve; Wiesemann, Wolfram; … - In: The journal of computational finance 15 (2011/12) 1, pp. 3-30

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Robust international portfolio management

Fonseca, Raquel J.; Wiesemann, Wolfram; Rustem, Berç - In: Computational Management Science : CMS 9 (2012) 1, pp. 31-62

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Analysis of the rebalancing frequency in log-optimal portfolio selection

Kuhn, Daniel; Luenberger, David - In: Quantitative Finance 10 (2010) 2, pp. 221-234

In a dynamic investment situation, the right timing of portfolio revisions and adjustments is essential to sustain long-term growth. A high rebalancing frequency reduces the portfolio performance in the presence of transaction costs, whereas a low rebalancing frequency entails a static...

Persistent link: https://www.econbiz.de/10008609620

Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules

Rocha, Paula; Kuhn, Daniel - In: European journal of operational research : EJOR 216 (2012) 2, pp. 397-408

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Worst-case value at risk on nonlinear portfolios

Zymler, Steve; Kuhn, Daniel; Rustem, Berç - In: Management science : journal of the Institute for … 59 (2013) 1, pp. 172-188

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Robust portfolio optimization with derivative insurance guarantees

Zymler, Steve; Rustem, Berç; Kuhn, Daniel - In: European journal of operational research : EJOR 210 (2011) 2, pp. 410-424

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Threshold accepting approach to improve bound-based approximations for portfolio optimization

Kuhn, Daniel; Parpas, Panos; Rustem, Berç - In: Computational methods in financial engineering : essays …, (pp. 3-26). 2008

Persistent link: https://www.econbiz.de/10003669410