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Shortfall as a risk measure : properties, optimization and applications
Bertsimas, Dimitris; Lauprete, Geoffrey J.; Samarov, … - In: Journal of economic dynamics & control 28 (2004) 7, pp. 1353-1381
Persistent link: https://www.econbiz.de/10001880835
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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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A scalable algorithm for sparse portfolio selection
Bertsimas, Dimitris; Cory-Wright, Ryan - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1489-1511
Persistent link: https://www.econbiz.de/10013361693
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Restless bandits, linear programming relaxations and a primal-dual index heuristic
Bertsimas, Dimitris (contributor);  … - 1998 - Rev
Persistent link: https://www.econbiz.de/10000989311
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Optimization of multiclass queueing networks with changeover times via the achievable region method
Bertsimas, Dimitris (contributor);  … - 1998
Persistent link: https://www.econbiz.de/10000989312
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The single-station case
Bertsimas, Dimitris (contributor);  … - 1998
Persistent link: https://www.econbiz.de/10000989313
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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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Multistage robust mixed-integer optimization with adaptive partitions
Bertsimas, Dimitris; Dunning, Iain - In: Operations research 64 (2016) 4, pp. 980-998
Persistent link: https://www.econbiz.de/10011538581
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Duality in two-stage adaptive linear optimization : faster computation and stronger bounds
Bertsimas, Dimitris; Ruiter, Frans de - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 500-511
Persistent link: https://www.econbiz.de/10011538998
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Exact first-choice product line optimization
Bertsimas, Dimitris; Mišić, Velibor V. - In: Operations research 67 (2019) 3, pp. 651-670
Persistent link: https://www.econbiz.de/10012040229