Narrow search
Showing 1 - 10 of 191
Cover Image
Convex duality in stochastic optimization and mathematical finance
Pennanen, Teemu - In: Mathematics of operations research 36 (2011) 2, pp. 340-362
Persistent link: https://www.econbiz.de/10009162067
Cover Image
A stochastic portfolio optimization model with bounded memory
Chang, Mou-hsiung; Pang, Tao; Yang, Yipeng - In: Mathematics of operations research 36 (2011) 4, pp. 604-619
Persistent link: https://www.econbiz.de/10009405906
Cover Image
An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
Cover Image
Epi-regularization of risk measures
Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
Cover Image
Continuous-time portfolio choice under monotone mean-variance preferences : stochastic factor case
Trybuła, Jakub; Zawisza, Dariusz - In: Mathematics of operations research 44 (2019) 3, pp. 966-987
Persistent link: https://www.econbiz.de/10012105828
Cover Image
Optimal dynamic risk taking
Subramanian, Ajay; Yang, Baozhong - In: Mathematics of operations research 42 (2017) 3, pp. 599-625
Persistent link: https://www.econbiz.de/10011742432
Cover Image
Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Mathematics of operations research 43 (2018) 2, pp. 347-376
Persistent link: https://www.econbiz.de/10011868609
Cover Image
Solving nonsmooth and nonconvex compound stochastic programs with applications to risk measure minimization
Liu, Junyi; Cui, Ying; Pang, Jong-shi - In: Mathematics of operations research 47 (2022) 4, pp. 3051-3083
Persistent link: https://www.econbiz.de/10014311398
Cover Image
Power forward performance in semimartingale markets with stochastic integrated factors
Bo, Lijun; Capponi, Agostino; Zhou, Chao - In: Mathematics of operations research 48 (2023) 1, pp. 288-312
Persistent link: https://www.econbiz.de/10014312552
Cover Image
Optimal consumption and portfolio selection with early retirement option
Yang, Zhou; Koo, Hyeng-keun - In: Mathematics of operations research 43 (2018) 4, pp. 1378-1404
Persistent link: https://www.econbiz.de/10011957105