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Persistent link: https://www.econbiz.de/10011455576

Portfolio optimization with risk constraints

Gandy, Ralf - 2005

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

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Drones for relief logistics under uncertainty after an earthquake

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Stability and sample-based approximations of composite stochastic optimization problems

Dentcheva, Darinka; Lin, Yang; Penev, Spiridon - In: Operations research 71 (2023) 5, pp. 1871-1888

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Dual SDDP for risk-averse multistage stochastic programs

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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

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Short-term risk management of electricity retailers under rising shares of decentralized solar generation

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On the information-based complexity of stochastic programming

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Construction of risk-averse enhanced index funds

Lejeune, Miguel A.; Samatlı-Paç, Gülay - In: INFORMS journal on computing : JOC 25 (2013) 4, pp. 701-719

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An integrated approach for water resources decision making under interactive and compound uncertainties

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