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A robust asset-liability management framework for investment products with guarantees
Gülpınar, Nalân; Pachamanova, Dessislava A.; … - In: OR spectrum : quantitative approaches in management 38 (2016) 4, pp. 1007-1041
Persistent link: https://www.econbiz.de/10011686059
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Integrating multi-stage stochastic programming and machine learning for the evaluation of policies in the electricity portfolio problem
Murgia, Gianluca; Sbrilli, Simone - In: IMA journal of management mathematics 28 (2017) 1, pp. 109-130
Persistent link: https://www.econbiz.de/10011690485
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A unified approach to uncertain optimization
Klamroth, Kathrin; Köbis, Elisabeth; Schöbel, Anita; … - In: European journal of operational research : EJOR 260 (2017) 2, pp. 403-420
Persistent link: https://www.econbiz.de/10011698569
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Mean-VaR portfolio optimization : a nonparametric approach
Lwin, Khin T.; Qu, Rong; MacCarthy, Bart - In: European journal of operational research : EJOR 260 (2017) 2, pp. 751-766
Persistent link: https://www.econbiz.de/10011699174
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Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
Escudero, Laureano F.; Garín, María Araceli; Unzueta … - In: Computers & operations research : and their … 85 (2017), pp. 154-171
Persistent link: https://www.econbiz.de/10011713905
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Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Singh, Arti; Selvamuthu, Dharmaraja - In: Mathematical methods of operations research 86 (2017) 1, pp. 29-69
Persistent link: https://www.econbiz.de/10011714373
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On optimal options book execution strategies with market impact
Kalife, Aymeric; Mouti, Saad - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-40
Persistent link: https://www.econbiz.de/10011715825
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The construction of an investment portfolio using stochastic programming
Kabašinskas, Audrius; Kadikinaitė, Lina - In: Journal of sustainable finance & investment 6 (2016) 3, pp. 151-160
Persistent link: https://www.econbiz.de/10011722990
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Portfolio optimization and stochastic volatility asymptotics
Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; … - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 704-745
Persistent link: https://www.econbiz.de/10011764969
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Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise
Jalali, Hamed; Van Nieuwenhuyse, Inneke; Picheny, Victor - In: European journal of operational research : EJOR 261 (2017) 1, pp. 279-301
Persistent link: https://www.econbiz.de/10011765027