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Time-consistency of optimal investment under smooth ambiguity
Balter, Anne G.; Mahayni, Antje; Schweizer, Nikolaus - In: European journal of operational research : EJOR 293 (2021) 2, pp. 643-657
Persistent link: https://www.econbiz.de/10012513245
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Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang - In: European journal of operational research : EJOR 285 (2020) 1, pp. 66-80
Persistent link: https://www.econbiz.de/10012239478
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Time (in)consistency of multistage distributionally robust inventory models with moment constraints
Xin, Linwei; Goldberg, David A. - In: European journal of operational research : EJOR 289 (2021) 3, pp. 1127-1141
Persistent link: https://www.econbiz.de/10012433672
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Hedge fund's dynamic leverage decisions under time-inconsistent preferences
Li, Jiangyuan; Liu, Bo; Yang, Jinqiang; Zou, Zhentao - In: European journal of operational research : EJOR 284 (2020) 2, pp. 779-791
Persistent link: https://www.econbiz.de/10012238809
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Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
Persistent link: https://www.econbiz.de/10011434903
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Building up time-consistency for risk measures and dynamic optimizatio
De Lara, Michel; Leclère, Vincent - In: European journal of operational research : EJOR 249 (2016) 1, pp. 177-187
Persistent link: https://www.econbiz.de/10011435779
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Approximating term structure of interest rates using cubic L 1 splines
Chiu, Nan-chieh; Fang, Shu-Cherng; Lavery, John E.; … - In: European journal of operational research : EJOR 184 (2008) 3, pp. 990-1004
Persistent link: https://www.econbiz.de/10003768640
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Measurement of interest rates using a convex optimization model
Blomvall, Jörgen - In: European journal of operational research : EJOR 256 (2017) 1, pp. 308-316
Persistent link: https://www.econbiz.de/10011611272
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Structural recovery of face value at default
Guha, Rajiv; Sbuelz, Alessandro; Tarelli, Andrea - In: European journal of operational research : EJOR 283 (2020) 3, pp. 1148-1171
Persistent link: https://www.econbiz.de/10012171774
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Credit spread approximation and improvement using random forest regression
Mercadier, Mathieu; Lardy, Jean-Pierre - In: European journal of operational research : EJOR 277 (2019) 1, pp. 351-365
Persistent link: https://www.econbiz.de/10012015039