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Multiplier optimization for constant proportion portfolio insurance (cppi) strategy
Biedova, Olga; Steblovskaya, Victoria - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10012270906
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Has dynamic programming improved decision making?
Rust, John - In: Annual review of economics 11 (2019), pp. 833-858
Persistent link: https://www.econbiz.de/10012623842
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Generalized bounded rationality and robust multicommodity network design
Sun, Longsheng; Karwan, Mark H.; Kwon, Changhyun - In: Operations research 66 (2018) 1, pp. 42-57
Persistent link: https://www.econbiz.de/10011818591
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Interpretation of Lagrange multipliers in nonlinear pricing problem
Berg, Kimmo; Ehtamo, Harri - In: Optimization letters 4 (2010) 2, pp. 275-285
Persistent link: https://www.econbiz.de/10003958326
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Solving an optimization packing problem of cricles and non-convex polygons with rotations in a multiply connected region
Stoyan, Y. G.; Zlotnik, M. V.; Chugay, A. M. - In: Journal of the Operational Research Society : OR 63 (2012) 3, pp. 379-391
Persistent link: https://www.econbiz.de/10009509207
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Interior point methods in DEA to determine non-zero multiplier weights
Bougnol, M. L.; Dulá, José H.; Rouse, P. - In: Computers & operations research : and their … 39 (2012) 3, pp. 698-708
Persistent link: https://www.econbiz.de/10009384600
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A convex stochastic optimization problem arising from portfolio selection
Jin, Hanqing; Xu, Zuo Quan; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 171-183
Persistent link: https://www.econbiz.de/10003643506
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Optimal solutions of multiplier DEA models
Podinovski, Victor V.; Bouzdine-Chameeva, Tatiana - In: Journal of productivity analysis : an official journal … 56 (2021) 1, pp. 45-68
Persistent link: https://www.econbiz.de/10012589174
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The proximal alternating direction method of multipliers in the nonconvex setting : convergence analysis and rates
Boţ, Radu Ioan; Nguyen, Dang-Khoa - In: Mathematics of operations research 45 (2020) 2, pp. 682-712
Persistent link: https://www.econbiz.de/10012242535
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A block successive upper-bound minimization method of multipliers for linearly constrained convex optimization
Hong, Mingyi; Chang, Tsung-Hui; Wang, Xiangfeng; … - In: Mathematics of operations research 45 (2020) 3, pp. 833-861
Persistent link: https://www.econbiz.de/10012293356