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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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Algorithm for cardinality-constrained quadratic optimization
Bertsimas, Dimitris; Shioda, Romy - In: Computational optimization and applications : an … 43 (2009) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10003860209
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Robust multiperiod portfolio management in the presence of transaction costs
Bertsimas, Dimitris; Pachamanova, Dessislava A. - In: Computers & operations research : and their … 35 (2008) 1, pp. 3-17
Persistent link: https://www.econbiz.de/10003665715
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On the power of robust solutions in two-stage stochastic and adaptive optimization problems
Bertsimas, Dimitris; Goyal, Vineet - In: Mathematics of operations research 35 (2010) 2, pp. 284-305
Persistent link: https://www.econbiz.de/10003985683
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Optimality of affine policies in multistage robust optimization
Bertsimas, Dimitris; Iancu, Dan A.; Parrilo, Pablo A. - In: Mathematics of operations research 35 (2010) 2, pp. 363-394
Persistent link: https://www.econbiz.de/10003985715
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Nonconvex robust optimization for problems with constraints
Bertsimas, Dimitris; Nohadani, Omid; Teo, Kwong Meng - In: INFORMS journal on computing : JOC 22 (2010) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003962680
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A geometric characterization of the power of finite adaptability in multistage stochastic and adaptive optimization
Bertsimas, Dimitris; Goyal, Vineet; Sun, Xu Andy - In: Mathematics of operations research 36 (2011) 1, pp. 24-54
Persistent link: https://www.econbiz.de/10009007268
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A hybrid approach to beam angle optimization in intensity-modulated radiation therapy
Bertsimas, Dimitris; Cacchiani, Valentina; Craft, David; … - In: Computers & operations research : and their … 40 (2013) 9, pp. 2187-2197
Persistent link: https://www.econbiz.de/10009762324
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Dynamic resource allocation : a flexible tractable modeling framework
Bertsimas, Dimitris; Gupta, Shubham; Lulli, Guglielmo - In: European journal of operational research : EJOR 236 (2014) 1, pp. 14-26
Persistent link: https://www.econbiz.de/10010361320
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A note on the Bertsimas & Sim algorithm for robust combinatorial optimization problems
Álvarez-Miranda, Eduardo; Ljubić, Ivana; Toth, Paolo - In: 4OR : a quarterly journal of operations research 11 (2013) 4, pp. 349-360
Persistent link: https://www.econbiz.de/10010228001