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Regime shifts and uncertainty in pollution control
de Zeeuw, Aart; Zemel, Amos - 2012
We develop a simple model of managing a system subject to pollution damage under risk of an abrupt and random jump in the damage coefficient. The model allows the full dynamic characterization of the optimal emission policies under uncertainty. The results, that imply prudent behavior due to...
Persistent link: https://www.econbiz.de/10010280838
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A polynomial optimization approach to constant rebalanced portfolio selection
Takano, Yuichi; Sotirov, Renata - 2010
Persistent link: https://www.econbiz.de/10008697955
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A scenarios approach to asset allocation
Gosling, Susan - In: The journal of portfolio management : a publication of … 37 (2010/11) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10008738004
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Tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof S.; Hertog, Dirk den; Melenberg, Bertrand - 2014
Persistent link: https://www.econbiz.de/10011282869
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Computationally tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof Stanisław; Hertog, Dirk den; … - 2015 - Revised version of CentER Discussion Paper No. 2014-031
Persistent link: https://www.econbiz.de/10011348902
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A comparison of the mean-variance-leverage optimization model and the Markowitz general mean-variance portfolio selection model
Jacobs, Bruce I.; Levy, Kenneth N. - In: The journal of portfolio management : a publication of … 40 (2013) 1, pp. 1-5
Persistent link: https://www.econbiz.de/10010246312
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Traditional optimization is not optimal for leverage-averse investors
Jacobs, Bruce I.; Levy, Kenneth N. - In: The journal of portfolio management : a publication of … 40 (2014) 2, pp. 30-40
Persistent link: https://www.econbiz.de/10010365121
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Excess based allocation of risk capital
Gulick, Gerwald van; De Waegenaere, Anja; Norde, Henk - 2010
Persistent link: https://www.econbiz.de/10008748335
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Using Lagrangian relaxation to obtain small portfolios
Kopman, Leonid; Liu, Shucheng Scott; Shaw, Dong - In: The journal of portfolio management : a publication of … 35 (2008/09) 2, pp. 75-79
Persistent link: https://www.econbiz.de/10009520412
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When are static and adjustable robust optimization with constraint-wise uncertainty equivalent?
Marandi, Ahmadreza; Hertog, Dirk den - 2015 - Preprint
Persistent link: https://www.econbiz.de/10011404410