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On the design of R-based scalable frameworks for data science applications

Theußl, Stefan Peter - 2020

Persistent link: https://www.econbiz.de/10012194139

Dual subgradient method with averaging for optimal resource allocation

Nesterov, Jurij Evgenʹevič; Shikhman, Vladimir - 2017

Persistent link: https://www.econbiz.de/10011990824

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …

Persistent link: https://www.econbiz.de/10011867378

A regularized interior point method for sparse optimal transport on graphs

Cipolla, S.; Gondzio, Jacek; Zanetti, F. - In: European journal of operational research : EJOR 319 (2024) 2, pp. 413-426

Persistent link: https://www.econbiz.de/10015084225

An optimal extraction problem with price impact

Ferrari, Giorgio; Koch, Torben - 2018

A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves either as a drifted Brownian motion or as an Ornstein- Uhlenbeck process. While extracting, the...

Persistent link: https://www.econbiz.de/10011942642