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Amman, Hans M.
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Computational economics
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International transactions in operational research : ITOR ; a journal of the International Federation of Operational Research Societies (IFORS)
171
Economics letters
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International transactions in operational research : a journal of the International Federation of Operational Research Societies
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1
A Benders decomposition method for solving stochastic complementarity problems with an application in energy
Gabriel, Steven A.
;
Fuller, J. David
- In:
Computational economics
35
(
2010
)
4
,
pp. 301-329
Persistent link: https://www.econbiz.de/10003992459
Saved in:
2
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
Saved in:
3
Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der
;
Teng, Huei-Wen
;
Wang, Ren-Her
- In:
Computational economics
51
(
2018
)
4
,
pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
Saved in:
4
Stochastic control of linear and nonlinear econometric models : some computational aspects
Blueschke, D.
;
Blueschke-Nikolaeva, V.
;
Neck, Reinhard
- In:
Computational economics
42
(
2013
)
1
,
pp. 107-118
Persistent link: https://www.econbiz.de/10009750433
Saved in:
5
A numerical method for solving stochastic optimal control problems with linear control
Chavanasporn, Walailuck
;
Ewald, Christian-Oliver
- In:
Computational economics
39
(
2012
)
4
,
pp. 429-446
Persistent link: https://www.econbiz.de/10009540913
Saved in:
6
OPTCON3 : an active learning control algorithm for nonlinear quadratic stochastic problems
Blueschke-Nikolaeva, V.
;
Blueschke, D.
;
Neck, Reinhard
- In:
Computational economics
56
(
2020
)
1
,
pp. 145-162
Persistent link: https://www.econbiz.de/10012272022
Saved in:
7
Lost in translation : explicitly solving nonlinear stochastic optimal control problems using the median objective value
Savin, Ivan
;
Blueschke, Dmitri
- In:
Computational economics
48
(
2016
)
2
,
pp. 317-338
Persistent link: https://www.econbiz.de/10011646783
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8
A linear stochastic programming model for optimal leveraged portfolio selection
Valladão, Davi Michel
;
Veiga, Alvaro
;
Street, Alexandre
- In:
Computational economics
51
(
2018
)
4
,
pp. 1021-1032
Persistent link: https://www.econbiz.de/10011972212
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9
An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi
;
Wang, Wansheng
;
Xiao, Aiguo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
Saved in:
10
Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad
- In:
Computational economics
54
(
2019
)
2
,
pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
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