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~person:"Bertsimas, Dimitris"
~person:"Lejeune, Miguel A."
~subject:"Estimation theory"
~subject:"Portfolio-Management"
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Estimation theory
Portfolio-Management
Mathematical programming
69
Mathematische Optimierung
69
Theorie
63
Theory
63
Robust statistics
19
Robustes Verfahren
19
Stochastic process
18
Stochastischer Prozess
18
Portfolio selection
11
mixed-integer optimization
9
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7
Scheduling-Verfahren
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stochastic programming
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Algorithm
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Ganzzahlige Optimierung
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Integer programming
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robust optimization
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Decision under uncertainty
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Dynamische Optimierung
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Entscheidung unter Unsicherheit
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Regressionsanalyse
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Schätztheorie
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outer approximation
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Air transport
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14
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Bertsimas, Dimitris
Lejeune, Miguel A.
Li, Duan
17
Post, Thierry
17
Gilli, Manfred
16
Korn, Ralf
15
Schumann, Enrico
13
Consigli, Giorgio
12
Fabozzi, Frank J.
12
Cesarone, Francesco
11
Steffensen, Mogens
11
Zenios, Stauros Andrea
11
Kwon, Roy H.
10
Arvanitis, Stelios
9
Chen, Zhiping
9
Kim, Woo Chang
9
Schied, Alexander
9
Scozzari, Andrea
9
Speranza, Maria Grazia
9
Topaloglou, Nikolas
9
Mansini, Renata
8
Muhle-Karbe, Johannes
8
Scaillet, Olivier
8
Steuer, Ralph E.
8
Takahashi, Akihiko
8
Tardella, Fabio
8
Vanduffel, Steven
8
Zhang, Wei-guo
8
Barro, Diana
7
Ben Abdelaziz, Fouad
7
Benigno, Pierpaolo
7
Cui, Xiangyu
7
Kim, Jang Ho
7
Kraft, Holger
7
Lee, Yongjae
7
Li, Xun
7
Maringer, Dietmar G.
7
Mavrotas, George
7
Pachamanova, Dessislava A.
7
Qi, Yue
7
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Computers & operations research : and their applications to problems of world concern ; an international journal
2
European journal of operational research : EJOR
2
INFORMS journal on computing : JOC
2
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
1
Journal of economic dynamics & control
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical methods of operations research
1
Operations research
1
Operations research letters
1
Quantitative finance
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Risk management decisions and wealth management in financial economics
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ECONIS (ZBW)
14
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1
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14
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1
Data-driven project portfolio selection : decision-dependent stochastic
programming
formulations with reliability and time to market requirements
Kettunen, Janne
;
Lejeune, Miguel A.
- In:
Computers & operations research : and their …
143
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013343228
Saved in:
2
Sparse convex regression
Bertsimas, Dimitris
;
Mundru, Nishanth
- In:
INFORMS journal on computing : JOC
33
(
2021
)
1
,
pp. 262-279
Persistent link: https://www.econbiz.de/10012496386
Saved in:
3
Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
Saved in:
4
A scalable algorithm for sparse portfolio selection
Bertsimas, Dimitris
;
Cory-Wright, Ryan
- In:
INFORMS journal on computing : JOC ; charting new …
34
(
2022
)
3
,
pp. 1489-1511
Persistent link: https://www.econbiz.de/10013361693
Saved in:
5
Multi-objective probabilistically constrained programs with variable risk : models for multi-portfolio financial optimization
Lejeune, Miguel A.
;
Shen, Siqian
- In:
European journal of operational research : EJOR
252
(
2016
)
2
,
pp. 522-539
Persistent link: https://www.econbiz.de/10011457705
Saved in:
6
Characterization of the equivalence of robustification and regularization in linear and matrix regression
Bertsimas, Dimitris
;
Copenhaver, Martin S.
- In:
European journal of operational research : EJOR
270
(
2018
)
3
,
pp. 931-942
Persistent link: https://www.econbiz.de/10011882668
Saved in:
7
Computation of exact bootstrap confidence intervals : complexity and deterministic algorithms
Bertsimas, Dimitris
;
Sturt, Bradley
- In:
Operations research
68
(
2020
)
3
,
pp. 949-964
Persistent link: https://www.econbiz.de/10012234527
Saved in:
8
Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon
;
Lejeune, Miguel A.
- In:
Management science : journal of the Institute for …
66
(
2020
)
8
,
pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
Saved in:
9
Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
Ji, Ran
;
Lejeune, Miguel A.
- In:
Risk management decisions and wealth management in …
,
(pp. 547-578)
.
2018
Persistent link: https://www.econbiz.de/10011871712
Saved in:
10
On the approximability of adjustable robust convex optimization under uncertainty
Bertsimas, Dimitris
;
Goyal, Vineet
- In:
Mathematical methods of operations research
77
(
2013
)
3
,
pp. 323-343
Persistent link: https://www.econbiz.de/10009774897
Saved in:
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