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Multi-wave tabu search for the boolean quadratic programming problem with generalized upper bound constraints

Shang, Zhen; Hao, Jin-Kao; Zhao, Songzheng; Wang, Yang; … - In: Computers & operations research : and their … 150 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10013485777

Dependence uncertainty bounds for the expectile of a portfolio

Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the risky components is not fully specified. First, we summarize methods for obtaining bounds when only the marginal distributions of the components are known, but not their...

Persistent link: https://www.econbiz.de/10011402861

Fair allocation of indivisible goods with minimum inequality or minimum envy

Cornilly, Dries; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: European journal of operational research : EJOR 297 (2022) 2, pp. 741-752

Persistent link: https://www.econbiz.de/10013259929

Optimal portfolios under a correlation constraint

Bernard, Carole; Cornilly, Dries; Vanduffel, Steven - In: Quantitative finance 18 (2018) 3, pp. 333-345

Persistent link: https://www.econbiz.de/10011906370

Optimal portfolio choice with benchmarks

Bernard, Carole; De Staelen, Rob H.; Vanduffel, Steven - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1600-1621

Persistent link: https://www.econbiz.de/10012214351

Optimal strategies under Omega ratio

Bernard, Carole; Vanduffel, Steven; Ye, Jiang - In: European journal of operational research : EJOR 275 (2019) 2, pp. 755-767

Persistent link: https://www.econbiz.de/10011993573

On an optimization problem related to static super-replicating strategies

Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; … - 2014

Persistent link: https://www.econbiz.de/10011418704