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Stochastic portfolio optimization with proportional transaction costs : convex reformulations and computational experiments
Filomena, Tiago P.; Lejeune, Miguel A. - In: Operations research letters 40 (2012) 3, pp. 212-217
Persistent link: https://www.econbiz.de/10009546517
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Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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On the convergence of stochastic dual dynamic programming and related methods
Philpott, A. B.; Guan, Z. - In: Operations research letters 36 (2008) 4, pp. 450-455
Persistent link: https://www.econbiz.de/10003786709
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Central limit theorem and sample complexity of stationary stochastic programs
Shapiro, Alexander; Cheng, Yi - In: Operations research letters 49 (2021) 5, pp. 676-681
Persistent link: https://www.econbiz.de/10013207426
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Partially observable multistage stochastic programming
Dowson, Oscar; Morton, David P.; Pagnoncelli, Bernardo K. - In: Operations research letters 48 (2020) 4, pp. 505-512
Persistent link: https://www.econbiz.de/10012294817
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Stochastic dual dynamic programming with stagewise-dependent objective uncertainty
Downward, Anthony; Dowson, Oscar; Baucke, Regan - In: Operations research letters 48 (2020) 1, pp. 33-39
Persistent link: https://www.econbiz.de/10012169591
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Epiconvergence of relaxed stochastic optimization problems
Leclère, Vincent - In: Operations research letters 47 (2019) 6, pp. 553-559
Persistent link: https://www.econbiz.de/10012131865
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An inexact column-and-constraint generation method to solve two-stage robust optimization problems
Tsang, Man Yiu; Shehadeh, Karmel S.; Curtis, Frank E. - In: Operations research letters 51 (2023) 1, pp. 92-98
Persistent link: https://www.econbiz.de/10014283302
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Dual SDDP for risk-averse multistage stochastic programs
Costa, Bernardo Freitas Paulo da; Leclère, Vincent - In: Operations research letters 51 (2023) 3, pp. 332-337
Persistent link: https://www.econbiz.de/10014374928