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SDDP for mutlistage stochastic programs : preprocessing via scenario reduction

Dupačová, Jitka; Kozmík, Václav - In: Computational Management Science : CMS 14 (2017) 1, pp. 67-80

Persistent link: https://www.econbiz.de/10011710330

Optimal pension fund composition for an Italian private pension plan sponsor

Vitali, Sebastiano; Moriggia, Vittorio; Kopa, Miloš - In: Computational Management Science : CMS 14 (2017) 1, pp. 135-160

Persistent link: https://www.econbiz.de/10011710371

A forward-backward SDEs approach to pricing in carbon markets

Chassagneux, Jean-François; Chotai, Hinesh; Muûls, … - 2017 - 1st edition 2017

Persistent link: https://www.econbiz.de/10011710374

Novel approaches for portfolio construction using second order stochastic dominance

Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10011710779

Pricing cataastrophe bonds with multistage stochastic programming

Georgiopoulos, Nick - In: Computational Management Science : CMS 14 (2017) 3, pp. 297-312

Persistent link: https://www.econbiz.de/10011710821

On integrated chance constraints in alm for pension funds

Toukourou, Youssouf A. F.; Boutin-Dufresne, François - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 571-609

Persistent link: https://www.econbiz.de/10011875667

DEA models equivalent to general imageth order stochastic dominance efficiency tests

Branda, Martin; Kopa, Miloš - In: Operations research letters 44 (2016) 2, pp. 285-289

Persistent link: https://www.econbiz.de/10011457629

Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12

This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. A...

Persistent link: https://www.econbiz.de/10011857001

Optimal investment with inside information and parameter uncertainty

Danilova, Albina; Monoyios, Michael; Ng, Andrew - In: Mathematics and financial economics 3 (2010) 1, pp. 13-38

Persistent link: https://www.econbiz.de/10003978398

Portfolio management without probabilities or statistics

Flåm, Sjur D. - In: Annals of finance 6 (2010) 3, pp. 357-368

Persistent link: https://www.econbiz.de/10003978880