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A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Andersson, Daniel; Djehiche, Boualem - In: Mathematical methods of operations research 72 (2010) 2, pp. 273-310
Persistent link: https://www.econbiz.de/10008696632
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Mean-variance portfolio selection for a non-life insurance company
Delong, Łukasz; Gerrard, Russell - In: Mathematical methods of operations research 66 (2007) 2, pp. 339-367
Persistent link: https://www.econbiz.de/10003564155
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Optimal partial hedging in a discrete-time market as a knapsack problem
Lindberg, Peter - In: Mathematical methods of operations research 72 (2010) 3, pp. 433-451
Persistent link: https://www.econbiz.de/10008748334
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Duality for portfolio optimization with short sales
Wanka, Gert; Göhler, Lars - In: Mathematical methods of operations research 53 (2001) 2, pp. 247-263
Persistent link: https://www.econbiz.de/10001628002
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Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Singh, Arti; Selvamuthu, Dharmaraja - In: Mathematical methods of operations research 86 (2017) 1, pp. 29-69
Persistent link: https://www.econbiz.de/10011714373
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SAA method based on modified Newton method for stochastic variational inequality with second-oder cone constraints and application in portfolio optimization
Chen, Shuang; Pang, Li-Ping; Ma, Xue-Fei; Li, Dan - In: Mathematical methods of operations research 84 (2016) 1, pp. 129-154
Persistent link: https://www.econbiz.de/10011673458
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Utility maximization in an illiquid market in continuous time
Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
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Regularity properties in a state-constrained expected utility maximization problem
Lazgham, Mourad - In: Mathematical methods of operations research 88 (2018) 2, pp. 185-240
Persistent link: https://www.econbiz.de/10011935660
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Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Neufeld, Ariel; Ṥikić, Mario - In: Mathematical methods of operations research 90 (2019) 2, pp. 229-253
Persistent link: https://www.econbiz.de/10012132710
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Efficient optimization of the reward-risk ratio with polyhedral risk measures
Ogryczak, Włodzimierz; Przyłuski, Michał; … - In: Mathematical methods of operations research 86 (2017) 3, pp. 625-653
Persistent link: https://www.econbiz.de/10011793414