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Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
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Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10011990589
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Dynamic resource management : intertemporal substitution and risk aversion
Knapp, Keith C. - In: American journal of agricultural economics 78 (1996) 4, pp. 1004-1014
Persistent link: https://www.econbiz.de/10001213593
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Optimality of deterministic policies for certain stochastic control problems with multiple criteria and constraints
Feinberg, Eugene A. - In: Mathematical control theory and finance, (pp. 137-148). 2008
Persistent link: https://www.econbiz.de/10003755590
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Stochastic optimization in continuous time
Chang, Fwu-ranq - 2004 - 1. publ.
Persistent link: https://www.econbiz.de/10001792160
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Stochastic programming bilevel models for service provision with a balancing coordinator
Pisciella, Paolo; Gaivoronski, Alexei A. - In: IMA journal of management mathematics 28 (2017) 1, pp. 131-152
Persistent link: https://www.econbiz.de/10011690495
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Technical note : stochastic optimization with decisions truncated by positively dependent random variables
Chen, Xin; Gao, Xiangyu - In: Operations research 67 (2019) 5, pp. 1321-1327
Persistent link: https://www.econbiz.de/10012107775
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Sustainable management of fossil fuels : a dynamic stochastic optimization approach with jump-diffusion
Castellano, Rosella; Cerqueti, Roy; Spinesi, Luca - In: European journal of operational research : EJOR 255 (2016) 1, pp. 288-297
Persistent link: https://www.econbiz.de/10011530870
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A multi-level Taguchi-factorial two-stage stochastic programming approach for characterization of parameter uncertainties and their interactions : an application to water resources...
Wang, S.; Huang, Guo H. - In: European journal of operational research : EJOR 240 (2015) 2, pp. 572-581
Persistent link: https://www.econbiz.de/10010487004