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Large deviations theorems for optimal investment problems with large portfolios
Chu, Ba; Knight, John L.; Satchell, Stephen - In: European journal of operational research : EJOR 211 (2011) 3, pp. 533-555
Persistent link: https://www.econbiz.de/10008933377
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Stochastic portfolio optimization with proportional transaction costs : convex reformulations and computational experiments
Filomena, Tiago P.; Lejeune, Miguel A. - In: Operations research letters 40 (2012) 3, pp. 212-217
Persistent link: https://www.econbiz.de/10009546517
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Power utility maximization in exponential Lévy models : convergence of discrete-time to continuous-time maximizers
Temme, Johannes P. - In: Mathematical methods of operations research 76 (2012) 1, pp. 21-41
Persistent link: https://www.econbiz.de/10009571220
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HARA frontiers of optimal portfolios in stochastic markets
Çanakoğlu, Ethem; Özekici, Süleyman - In: European journal of operational research : EJOR 221 (2012) 1, pp. 129-137
Persistent link: https://www.econbiz.de/10009553144
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Set-portfolio selection with the use of market stochastic bounds
Lozza, Sergio Ortobelli; Angelelli, Enrico; Toninelli, … - In: Emerging markets finance & trade : a journal of the … 47 (2011), pp. 5-24
Persistent link: https://www.econbiz.de/10009533022
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Convex duality in stochastic optimization and mathematical finance
Pennanen, Teemu - In: Mathematics of operations research 36 (2011) 2, pp. 340-362
Persistent link: https://www.econbiz.de/10009162067
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An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
Ponomareva, K.; Roman, D.; Date, P. - In: European journal of operational research : EJOR 240 (2015) 3, pp. 678-687
Persistent link: https://www.econbiz.de/10010486971
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Restricted risk measures and robust optimization
Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European journal of operational research : EJOR 241 (2015) 3, pp. 771-782
Persistent link: https://www.econbiz.de/10010487547
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Some experiments on solving multistage stochastic mixed 0-1 programs with time stochastic dominance constraints
Escudero, Laureano F.; Garín, María Araceli; Merino, … - 2015
Persistent link: https://www.econbiz.de/10010506751
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Optimal portfolio formulas for some mean-reverting price models
Stojanovic, Srdjan - In: Journal of financial engineering 1 (2014) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10010508085