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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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Why methods for optimization problems with time-consuming function evaluations and integer variables should use global approximation models
Driessen, Lonneke; Brekelmans, Ruud; Gerichhausen, Marloes - 2006
Persistent link: https://www.econbiz.de/10003277659
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Optimization of univariate functions on bounded intervals by interpolation and semidefinite programming
Klerk, Etienne de (contributor); Elabwabi, G. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003314846
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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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Enhancement of sandwich algorithms for approximating higher dimensional convex pareto sets
Rennen, Gijs; Dam, Edwin Robert van; Hertog, Dirk den - 2009
Persistent link: https://www.econbiz.de/10003865769
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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