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Classical mean-variance model revisited : pseudo efficiency
Cui, Xiangyu; Li, Duan; Yan, Jia-an - In: Journal of the Operational Research Society : OR 66 (2015) 10, pp. 1646-1655
Persistent link: https://www.econbiz.de/10011417708
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Solving non-linear portfolio optimization problems with interval analysis
Xu, Xiaoning; He, Feng; Rong, Chen; Zhang, Qingzhi - In: Journal of the Operational Research Society : OR 66 (2015) 6, pp. 885-893
Persistent link: https://www.econbiz.de/10011378789
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Expanded models of the project portfolio selection problem with loss in divisibility
Tian, Ye; Sun, Miao; Ye, Zuoliang; Yang, Wei - In: Journal of the Operational Research Society : OR 67 (2016) 8, pp. 1097-1107
Persistent link: https://www.econbiz.de/10011575605
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A sequential goal programming model with fuzzy hierarchies to sustainable and responsible portfolio selection problem
Bilbao Terol, Amelia; Arenas-Parra, Mar; … - In: Journal of the Operational Research Society : OR 67 (2016) 10, pp. 1259-1273
Persistent link: https://www.econbiz.de/10011590574
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Minimizing the probability of lifetime drawdown under constant consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223
Persistent link: https://www.econbiz.de/10011533908
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Optimal consumption and investment problem with random horizon in a BMAP model
Chen, Xu; Yang, Xiang-qun - In: Insurance / Mathematics & economics 61 (2015), pp. 197-205
Persistent link: https://www.econbiz.de/10010515884
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Using medians in portfolio optimization
Benati, Stefano - In: Journal of the Operational Research Society : OR 66 (2015) 5, pp. 720-731
Persistent link: https://www.econbiz.de/10011302308
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Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Chen, Zhiping; Yang, Peng - In: Insurance / Mathematics & economics 92 (2020), pp. 27-46
Persistent link: https://www.econbiz.de/10012242037
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Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
Duarte, Thiago B.; Valladão, Davi M.; Veiga, Alvaro - In: Insurance / Mathematics & economics 77 (2017), pp. 177-188
Persistent link: https://www.econbiz.de/10011783945
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Annuitization and asset allocation under exponential utility
Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 79 (2018), pp. 167-183
Persistent link: https://www.econbiz.de/10011825434