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Distributionally robust mean-variance portfolio selection with Wasserstein distances
Blanchet, Jose; Chen, Lin; Zhou, Xun Yu - In: Management science : journal of the Institute for … 68 (2022) 9, pp. 6382-6410
Persistent link: https://www.econbiz.de/10013373005
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A maximum decisional efficiency estimation principle
Troutt, Marvin D. - In: Management science : journal of the Institute for … 41 (1995) 1, pp. 76-82
Persistent link: https://www.econbiz.de/10001178901
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Chance constrained efficiency evaluation
Olesen, Ole Bent - In: Management science : journal of the Institute for … 41 (1995) 3, pp. 441-457
Persistent link: https://www.econbiz.de/10001181677
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Learning-based robust optimization : procedures and statistical guarantees
Hong, L. Jeff; Huang, Zhiyuan; Lam, Henry - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3447-3467
Persistent link: https://www.econbiz.de/10012606927
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A market discovery algorithm to estimate a general class of nonparametric choice models
Van Ryzin, Garrett; Vulcano, Gustavo - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 281-300
Persistent link: https://www.econbiz.de/10010490887
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Data pooling in stochastic optimization
Gupta, Vishal; Kallus, Nathan - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 1595-1615
Persistent link: https://www.econbiz.de/10013259939
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Joint estimation and robustness optimization
Zhu, Taozeng; Xie, Jingui; Sim, Melvyn - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 1659-1677
Persistent link: https://www.econbiz.de/10013259995
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Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market
Konno, Hiroshi - In: Management science : journal of the Institute for … 37 (1991) 5, pp. 519-531
Persistent link: https://www.econbiz.de/10001106902
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Sensitivity analysis for mean-variance portfolio problems
Best, Michael J. - In: Management science : journal of the Institute for … 37 (1991) 8, pp. 980-989
Persistent link: https://www.econbiz.de/10001113427
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Relaxations of approximate linear programs for the real option management of commodity storage
Nadarajah, Selvaprabu; Margot, François; Secomandi, Nicola - In: Management science : journal of the Institute for … 61 (2015) 12, pp. 3054-3076
Persistent link: https://www.econbiz.de/10011413516