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Persistent link: https://www.econbiz.de/10013271181

Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast

Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34

This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...

Persistent link: https://www.econbiz.de/10012062904

Forecasting plausible scenarios and losses in interest rate targeting using mathematical optimization

Tanaka, Katsuhiro - In: International journal of financial engineering 6 (2019) 3, pp. 1-24

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Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds : a practical approach

Wan, Cheng; Bertschi, Ljudmila - In: Insurance / Mathematics & economics 63 (2015), pp. 66-75

Persistent link: https://www.econbiz.de/10011349851

Asset liability management modelling with risk control by stochastic dominance

Yang, Xi; Gonzio, Jacek; Grothey, Andreas - In: The journal of asset management 11 (2010/11) 2/3, pp. 73-93

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Incorporating signals into optimal trading

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Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs

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Spatio-temporal hydro forecasting of multireservoir inflows for hydro-thermal scheduling

Lohmann, Timo; Hering, Amanda S.; Rebennack, Steffen - In: European journal of operational research : EJOR 255 (2016) 1, pp. 243-258

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Scenario-based model predictive control for multi-echelon supply chain management

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Persistent link: https://www.econbiz.de/10011457711

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