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A probabilistically constrained extension of the integrated portfolio investment model
Ondra, Matthias; Hilscher, Christoph - In: Energy reports 6 (2020) 1, pp. 261-266
In recent years, new methods concerning risk mitigation techniques in energy planning strategies have become popular. Delarue et al. introduced the integrated portfolio investment model to account for supply-demand constraints. This paper proposes a model which is suitable to the energy...
Persistent link: https://www.econbiz.de/10012176935
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Modeling a dynamic portfolio for pension plans in emerging markets with myopic and nonmyopic behavior
Pimentel, Livia F.; Santiago, Leonardo P. - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 14-26
Persistent link: https://www.econbiz.de/10011561376
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Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
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Optimization model for insurance portfolio acquisition cost management
Peruško, Ticijan - 2020
Persistent link: https://www.econbiz.de/10012602461
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Automatic balancing mechanisms for mixed pension systems under different investment strategies
Boado-Penas, María del Carmen; Godínez-Olivares, Humberto - In: The European journal of finance 26 (2020) 2/3, pp. 277-294
Persistent link: https://www.econbiz.de/10012207210
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Capacity expansion and forward contracting in a duopolistic power sector
Chin, Dorea; Siddiqui, Afzal S. - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 57-86
Persistent link: https://www.econbiz.de/10010251210
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SMAA-PO: project portfolio optimization problems based on stochastic multicriteria acceptability analysis
Yang, Feng; Song, Shiling; Huang, Wei; Xia, Qiong - In: Mathematics in business management : [International …, (pp. 535-547). 2015
Persistent link: https://www.econbiz.de/10011488544
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Scalarization methods in multiobjective optimization, robustness, risk theory and finance
Khan, Akhtar A.; Köbis, Elisabeth; Tammer, Christiane - In: Multiple criteria decision making in finance, insurance …, (pp. 135-157). 2015
Persistent link: https://www.econbiz.de/10011374139
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Multistage portfolio optimization with multivariate dominance constraints
Petrová, Barbora - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 17-46
Persistent link: https://www.econbiz.de/10011993411
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The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.; Blomvall, Jörgen; Ekblom, Jonas - In: Quantitative finance 22 (2022) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10012872523