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Robust multiperiod portfolio management in the presence of transaction costs
Bertsimas, Dimitris; Pachamanova, Dessislava A. - In: Computers & operations research : and their … 35 (2008) 1, pp. 3-17
Persistent link: https://www.econbiz.de/10003665715
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Quadratic programming with transaction costs
Best, Michael J.; Hlouskova, Jaroslava - In: Computers & operations research : and their … 35 (2008) 1, pp. 18-33
Persistent link: https://www.econbiz.de/10003665718
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Realized performance of robust portfolios : worst-case Omega vs. CVaR-related models
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi; … - In: Computers & operations research : and their … 104 (2019), pp. 239-255
Persistent link: https://www.econbiz.de/10011991228
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Algorithmic estimation of risk factors in financial markets with stochastic drift
Hernández, Janko; Saunders, David M.; Seco, Luis - In: Computers & operations research : and their … 39 (2012) 4, pp. 820-828
Persistent link: https://www.econbiz.de/10010217455
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Evaluating financial time series models for irregulary speced data: a spectral density approach
Duchesne, Pierre; Pacurar, Maria - In: Computers & operations research : and their … 35 (2008) 1, pp. 130-155
Persistent link: https://www.econbiz.de/10003665878
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A note on Bayesian identification of change points in data sequences
Loschi, R. H.; Cruz, F. R. B.; Takahashi, R. H. C.; … - In: Computers & operations research : and their … 35 (2008) 1, pp. 156-170
Persistent link: https://www.econbiz.de/10003665885
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A novel passenger recovery approach for the integrated airline recovery problem
Maher, Stephen J. - In: Computers & operations research : and their … 57 (2015), pp. 123-137
Persistent link: https://www.econbiz.de/10010495389
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Tabu search for the cyclic bandwidth problem
Rodriguez-Tello, Eduardo; Romero-Monsivais, Hillel; … - In: Computers & operations research : and their … 57 (2015), pp. 17-32
Persistent link: https://www.econbiz.de/10010495421
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Tabu search and iterated local search for the cyclic bottleneck assignment problem
Li, Xiangyong; Zhu, Lanjian; Baki, Fazle; Chaouch, A. B. - In: Computers & operations research : and their … 96 (2018), pp. 120-130
Persistent link: https://www.econbiz.de/10011870496
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Multistart search for the cyclic cutwidth minimization problem
Cavero, Sergio; Pardo, Eduardo G.; Laguna, Manuel; … - In: Computers & operations research : and their … 126 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012425916