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An alternative approach to portfolio selection problem via stochastic differential delay equations

Viaşu, Ioana - In: Review of economic studies and research Virgil Madgearu 8 (2015) 2, pp. 125-136

Persistent link: https://www.econbiz.de/10011719883

Portfolio optimization problem with delay under Cox-Ingersoll-Ross model

A, Chunxiang; Shao, Yi - In: Journal of mathematical finance 7 (2017) 3, pp. 699-717

Persistent link: https://www.econbiz.de/10011752489

Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks : open access journal 9 (2021) 4, pp. 1-21

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation...

Persistent link: https://www.econbiz.de/10012508614

Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544

Persistent link: https://www.econbiz.de/10013489465

Robust Kriging models in computer experiments

Park, Taejin; Yum, Bongjin; Hung, Ying; Jeong, Young-Seon; … - In: Journal of the Operational Research Society : OR 67 (2016) 4, pp. 644-653

Persistent link: https://www.econbiz.de/10011516639

Localization and exact simulation of Brownian motion-driven stochastic differential equations

Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616

Persistent link: https://www.econbiz.de/10009787357

SMS : a program package for simulation and gaming of stochastic market processes and learning behavior

Witt, Ulrich; Perske, Joachim - 1982

Persistent link: https://www.econbiz.de/10000011570

Robust parameter design optimization of simulation experiments using stochastic perturbation methods

Miranda, A. K.; Castillo, E. del - In: Journal of the Operational Research Society : OR 62 (2011) 1, pp. 198-205

Persistent link: https://www.econbiz.de/10008939049

Bayesian sequential data collection for stochastic simulation calibration

Wang, Bo; Zhang, Qiong; Xie, Wei - In: European journal of operational research : EJOR 277 (2019) 1, pp. 300-316

Persistent link: https://www.econbiz.de/10012015034

Efficient VaR and CSaR measurement via stochastic kriging

Chen, Xi; Kim, Kyoung-Kuk - In: INFORMS journal on computing : JOC 28 (2016) 4, pp. 629-644

Persistent link: https://www.econbiz.de/10011617535

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