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Optimising data-driven network under limited resource : a partial diversification approach

Wu, Dexiang; Wu, Desheng Dash; Kwon, Roy H. - In: International journal of production research 57 (2019) 21, pp. 6875-6892

Persistent link: https://www.econbiz.de/10012193767

Model uncertainty, improved Fréchet-Hoeffding bounds and applications in mathematical finance

Lux, Thibaut - 2017

Persistent link: https://www.econbiz.de/10012194488

A resource allocation model to choose the best portfolio of economic resilience plans : a possibilistic stochastic programming model

Pashapour, Shima; Azadeh, Mohammad Ali; Bozorgi-Amiri, Ali - In: European journal of industrial engineering : EJIE 14 (2020) 3, pp. 301-334

Persistent link: https://www.econbiz.de/10012250267

International assets allocation with risk management via multi-stage stochastic programming

Yin, Libo; Han, Liyan - In: Computational economics 55 (2020) 2, pp. 385-405

Persistent link: https://www.econbiz.de/10012223636

Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks : open access journal 9 (2021) 4, pp. 1-21

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation...

Persistent link: https://www.econbiz.de/10012508614

Stochastic dominance efficient sets and stochastic spanning

Arvanitis, Stelios - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 401-409

Persistent link: https://www.econbiz.de/10012587852

Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and stochastics 25 (2021) 4, pp. 757-810

Persistent link: https://www.econbiz.de/10012665227

A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices

Weiss, Farina - In: Mathematical methods of operations research : ZOR 93 (2021) 1, pp. 33-81

Persistent link: https://www.econbiz.de/10012488877

Portfolio optimization with irreversible long-term investments in renewable energy under policy risk : a mixed-integer multistage stochastic model and a moving-horizon approach

Gatzert, Nadine; Martin, Alexander; Schmidt, Martin; … - In: European journal of operational research : EJOR 290 (2021) 2, pp. 734-748

Persistent link: https://www.econbiz.de/10012495220

Second order of stochastic dominance efficiency vs mean variance efficiency

Malavasi, Matteo; Ortobelli Lozza, Sergio; Trück, Stefan - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1192-1206

Persistent link: https://www.econbiz.de/10012495268