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Importance sampling in stochastic optimization : an application to intertemporal portfolio choice
Ekblom, J.; Blomvall, J. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 106-119
Persistent link: https://www.econbiz.de/10012239487
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Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
Escudero, Laureano F.; Garín, María Araceli; Monge, … - In: European journal of operational research : EJOR 285 (2020) 3, pp. 988-1001
Persistent link: https://www.econbiz.de/10012239827
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Risk neutral reformulation approach to risk averse stochastic programming
Liu, Rui Peng; Shapiro, Alexander - In: European journal of operational research : EJOR 286 (2020) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10012239878
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Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Chen, Zhiping; Yang, Peng - In: Insurance / Mathematics & economics 92 (2020), pp. 27-46
Persistent link: https://www.econbiz.de/10012242037
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Epi-regularization of risk measures
Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
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Personalized goal-based investing via multi-stage stochastic goal programming
Kim, Woo Chang; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; … - In: Quantitative finance 20 (2020) 3, pp. 515-526
Persistent link: https://www.econbiz.de/10012194905
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CVaR-LASSO Enhanced Index Replication (CLEIR) : outperforming by minimizing downside risk
Gendreau, Brian C.; Jin, Yong; Nimalendran, Mahendrarajah; … - In: Applied economics 51 (2019) 52, pp. 5637-5651
Persistent link: https://www.econbiz.de/10012197263
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A mathematical analysis of technical analysis
Lorig, Matthew; Zhou, Zhou; Zou, Bin - In: Applied mathematical finance 26 (2019) 1, pp. 38-68
Persistent link: https://www.econbiz.de/10012210259
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Portfolio optimization for credit-risky assets under Marshall–Olkin dependence
Mai, Jan-Frederik - In: Applied mathematical finance 26 (2019) 6, pp. 598-618
Persistent link: https://www.econbiz.de/10012210432
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Data-driven satisficing measure and ranking
Huang, Wenjie - In: Journal of the Operational Research Society 71 (2020) 3, pp. 456-474
Persistent link: https://www.econbiz.de/10012216628