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Lifetime portfolio selection by dynamic stochastic programming
Samuelson, Paul Anthony - 1972
Persistent link: https://www.econbiz.de/10001260022
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Dynamic portfolio replication using stochastic programming
Dempster, Michael A. H.; Thompson, G. W. P. - In: Risk management : value at risk and beyond, (pp. 100-128). 2002
Persistent link: https://www.econbiz.de/10001689194
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Stochastic dominance, efficiency and separation in financial markets
Bawa, Vijay S.; Goroff, Daniel L. - In: Journal of economic theory 30 (1983) 2, pp. 410-414
Persistent link: https://www.econbiz.de/10001877971
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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004
Persistent link: https://www.econbiz.de/10002072557
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A hyprid simulation/tree stochastic optimisation model for dynamic asset allocation
Hibiki, Norio - In: Asset and liability management tools, (pp. 269-294). 2003
Persistent link: https://www.econbiz.de/10002169380
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Asset liability management using stochastic programming
Pribhai, Mehndi; Mitra, Gautam; Kyriakis, Triphonas - In: Asset and liability management tools, (pp. 295-308). 2003
Persistent link: https://www.econbiz.de/10002169392
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Asset liability management modelling using multistage mixed-integer stochastic programming
Drijver, Sibrand J.; Klein Haneveld, Willem K.; Vlerk, … - In: Asset and liability management tools, (pp. 309-324). 2003
Persistent link: https://www.econbiz.de/10002169404
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A stochastic programming model with decision dependent uncertainty realizations for technology portfolio management
Solak, Senay; Clarke, John-Paul; Johnson, Ellis; … - In: Operations research proceedings 2007 : selected papers …, (pp. 75-80). 2008
Persistent link: https://www.econbiz.de/10003716095
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A resource portfolio planning model using sampling-based stochastic programming and genetic algorithm
Wang, K.-J.; Wang, S.-M.; Chen, James-C. - In: European journal of operational research : EJOR 184 (2008) 1, pp. 327-340
Persistent link: https://www.econbiz.de/10003768214
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Pricing related projects
Flam, S. D.; Gassmann, H. I. - In: Coping with uncertainty : modeling and policy issues, (pp. 301-313). 2006
Persistent link: https://www.econbiz.de/10003394901