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Closed-form portfolio optimization under GARCH models
Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to …
Persistent link: https://www.econbiz.de/10012880259
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Analytical solution to a partially observable machine maintenance problem with obvious failures
Zhang, Hao; Zhang, Weihua - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 3993-4015
Persistent link: https://www.econbiz.de/10014338322
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Robust modified policy iteration
Kaufman, David L.; Schaefer, Andrew J. - In: INFORMS journal on computing : JOC 25 (2013) 3, pp. 396-410
Persistent link: https://www.econbiz.de/10009784076
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On boundedness of Q-learning iterates for stochastic shortest path problems
Yu, Huizhen; Bertsekas, Dimitri P. - In: Mathematics of operations research 38 (2013) 2, pp. 209-227
Persistent link: https://www.econbiz.de/10009751534
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Portfolio optimization under partial information with expert opinions
Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009562133
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Finitely additive dynamic programming
Sudderth, William D. - In: Mathematics of operations research 41 (2016) 1, pp. 92-108
Persistent link: https://www.econbiz.de/10011448301
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Improved and generalized upper bounds on the complexity of policy iteration
Scherrer, Bruno - In: Mathematics of operations research 41 (2016) 3, pp. 758-774
Persistent link: https://www.econbiz.de/10011520568
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Dynamic pricing and learning with finite inventories
Boer, Arnoud V. den; Zwart, Bert - In: Operations research 63 (2015) 4, pp. 965-978
Persistent link: https://www.econbiz.de/10011313165
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Robust and stochastic multistage optimisation under Markovian uncertainty with applications to production/inventory problems
Minoux, Michel - In: International journal of production research 56 (2018) 1/2, pp. 565-583
Persistent link: https://www.econbiz.de/10011877073
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Polynomial-time computation of strong and n-present-value optimal policies in Markov decision chains
O'Sullivan, Michael; Veinott, Arthur F. <Jr.> - In: Mathematics of operations research 42 (2017) 3, pp. 577-598
Persistent link: https://www.econbiz.de/10011742428