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Extending algebraic modelling languages for stochastic programming
Valente, Christian; Mitra, Gautam; Sadki, Mustapha; … - In: INFORMS journal on computing : JOC 21 (2009) 1, pp. 107-122
Persistent link: https://www.econbiz.de/10003896676
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Alternative decision models for liability-driven investment
Schwaiger, Katharina; Lucas, Cormac; Mitra, Gautam - In: The journal of asset management 11 (2010/11) 2/3, pp. 178-193
Persistent link: https://www.econbiz.de/10008663607
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Quadratic programming for portfolio planning : insights into algorithmic and computational issues part II ; processing of portfolio planning models with discrete constraints
Mitra, Gautam; Ellison, Frank; Scowcroft, Alan - In: The journal of asset management 8 (2007/08) 4, pp. 249-258
Persistent link: https://www.econbiz.de/10003579954
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Quadratic programming for portfolio planning : insights into algorithmic and computational issues ; solving a family of QP models. Part I
Mitra, Gautam; Ellison, Frank; Scowcroft, Alan - In: The journal of asset management 8 (2007/08) 3, pp. 200-214
Persistent link: https://www.econbiz.de/10003543593
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HMM based scenario generation for an investment optimisation problem
Erlwein, Christina; Mitra, Gautam; Roman, Diana - 2012
Persistent link: https://www.econbiz.de/10009620486
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Asset liability management using stochastic programming
Pribhai, Mehndi; Mitra, Gautam; Kyriakis, Triphonas - In: Asset and liability management tools, (pp. 295-308). 2003
Persistent link: https://www.econbiz.de/10002169392
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Integrating market and credit risk: A simulation and optimisation perspective
Jobst, Norbert J.; Mitra, Gautam; Zenios, Stauros Andrea - In: Journal of banking & finance 30 (2006) 2, pp. 717-742
Persistent link: https://www.econbiz.de/10003291365
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A linear and discrete programming framework for representing qualitative knowledge
Hadjiconstantinou, Eleni - In: Journal of economic dynamics & control 18 (1994) 1, pp. 273-297
Persistent link: https://www.econbiz.de/10001148499
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Finding better starting bases for the simplex method
Maros, Istvan - In: Selected papers of the Symposium on Operations Research …, (pp. 7-12). 1996
Persistent link: https://www.econbiz.de/10001318181
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Risk and return analysis of a multiperiod strategic planning problem
Lucas, Cormac - In: Stochastic modelling in innovative manufacturing : …, (pp. 81-96). 1997
Persistent link: https://www.econbiz.de/10001319855