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Solving dynamic stochastic economic models by mathematical programming decomposition methods
Esteban-Bravo, Mercedes; Nogales, Francisco J. - In: Computers & operations research : and their … 35 (2008) 1, pp. 226-240
Persistent link: https://www.econbiz.de/10003665946
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Optimal portfolio construction and active portfolio management including alternative investments
Keel, Simon Theodor (contributor) - 2006
Persistent link: https://www.econbiz.de/10003512326
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Endogenous grids in higher dimensions : delaunay interpolation and hybrid methods
Ludwig, Alexander; Schön, Matthias - 2013
Persistent link: https://www.econbiz.de/10010187593
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Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
Bi, Junna; Chen, Kailing - In: RAIRO / Operations research 53 (2019) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10012113620
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Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12
processes are correlated by a common shock. A general mean-variance optimization problem is investigated, that is, besides the …
Persistent link: https://www.econbiz.de/10011857001
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Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei - 2011
Persistent link: https://www.econbiz.de/10009724942
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Endogenous grids in higher dimensions : delaunay interpolation and hybrid methods
Ludwig, Alexander; Schön, Matthias - 2014
This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different categories of algorithms: (i) the conventional method with exogenous grids...
Persistent link: https://www.econbiz.de/10010419826
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Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei - In: Quantitative economics : QE ; journal of the … 2 (2011) 2, pp. 173-210
Persistent link: https://www.econbiz.de/10009388903
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Retrospective optimization of mixed-integer stochastic systems using dynamic simplex linear interpolation
Wang, Honggang - In: European journal of operational research : EJOR 217 (2012) 1, pp. 141-148
Persistent link: https://www.econbiz.de/10009389509
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Log-optimal and rapid paths in von Neumann-Gale dynamical systems
Babaei, E.; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner - 2019
Persistent link: https://www.econbiz.de/10011978960