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An approximate solution for optimal portfolio in incomplete markets
Menoncin, Francesco - In: Mathematical control theory and finance, (pp. 293-310). 2008
Persistent link: https://www.econbiz.de/10003755883
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A stochastic programming approach for multi-period portfolio optimization
Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Computational Management Science : CMS 6 (2009) 2, pp. 187-208
Persistent link: https://www.econbiz.de/10003828694
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Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
Zhang, Weini; Rahimian, Hamed; Bayraksan, Güzin - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 385-404
Persistent link: https://www.econbiz.de/10011538952
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Multilevel optimization modeling for risk-averse stochastic programming
Eckstein, Jonathan; Eskandani, Deniz; Fan, Jingnan - In: INFORMS journal on computing : JOC 28 (2016) 1, pp. 112-128
Persistent link: https://www.econbiz.de/10011453805
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Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
Persistent link: https://www.econbiz.de/10011434903
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Risk aversion in multistage stochastic programming : a modeling and algorithmic perspective
Homem-de-Mello, Tito; Pagnoncelli, Bernardo K. - In: European journal of operational research : EJOR 249 (2016) 1, pp. 188-199
Persistent link: https://www.econbiz.de/10011435793
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Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989
Persistent link: https://www.econbiz.de/10011445359
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Structure of risk-averse multistage stochastic programs
Dupačová, Jitka; Kozmík, Václav - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 559-582
Persistent link: https://www.econbiz.de/10011296750
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Modeling time-dependent randomness in stochastic dual dynamic programming
Löhndorf, Nils; Shapiro, Alexander - In: European journal of operational research : EJOR 273 (2019) 2, pp. 650-661
Persistent link: https://www.econbiz.de/10011987574