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Optimizing the Conditional Value-at-Risk in Revenue Management
Gönsch, Jochen - 2014
Many service industries use revenue management to balance demand and capacity. The assumption of risk-neutrality lies at the heart of the classical approaches, which aim at maximizing expected revenue. In this paper, we give a comprehensive overview of the existing approaches, most of which were...
Persistent link: https://www.econbiz.de/10013064213
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An affective heuristic for multistage linear programming with a stochastic right-hand side
Beltran-Royo, Cesar; Escudero, Laureano F.; Monge, J. F.; … - In: Computers & operations research : and their … 51 (2014), pp. 237-250
Persistent link: https://www.econbiz.de/10010408851
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Efficiency measurement for revenue management
Nikitin, Fedor; Tolvanen, Antti - In: Journal of revenue and pricing management 21 (2022) 6, pp. 638-644
Persistent link: https://www.econbiz.de/10013463857
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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
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Dynamic allocation and pricing : a mechanism design approach
Gershkov, Alex; Moldovanu, Benny - 2014
Persistent link: https://www.econbiz.de/10011294452
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Optimal portfolio choice with benchmarks
Bernard, Carole; De Staelen, Rob H.; Vanduffel, Steven - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1600-1621
Persistent link: https://www.econbiz.de/10012214351
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An algorithm for international portfolio selection and optimal currency hedging
Rudolf, Markus; Zimmermann, Heinz - 1994
Persistent link: https://www.econbiz.de/10000151201
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Solving Norm Constrained Portfolio Optimization via Coordinate-Wise Descent Algorithms
Yen, Yu-Min; Yen, Tso-Jung - 2019
without such penalty. Several extensions of the proposed method are illustrated; in particular, an efficient algorithm for …
Persistent link: https://www.econbiz.de/10014195343
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Portfolio Optimization for Cointelated Pairs : SDEs vs Machine Learning
Mahdavi-Damghani, Babak; Mustafayeva, Konul; Buescu, Cristin - 2020
With the recent rise of Machine Learning (ML) as a candidate to partially replace classic Financial Mathematics (FM … resulting HJB equation with the Deep Galerkin method.We turn to Machine Learning for the same P&L maximization problem and use …
Persistent link: https://www.econbiz.de/10014103540
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Algorithm for Projecting Onto Simplicial Cones and Application to Portfolio Optimization
Kwon, Oh Kang - 2017
techniques have been proposed for its solution. This paper introduces an efficient new algorithm for the solution to this problem …, and compares its performance to other algorithms proposed in the literature. It is shown that the algorithm is very …
Persistent link: https://www.econbiz.de/10012967192