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Stochastic linear programming : models, theory, and computation
Kall, Peter; Mayer, János - 2011 - 2. ed.
Persistent link: https://www.econbiz.de/10008738248
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Stochastic linear programming
Kall, Peter - 1976
Persistent link: https://www.econbiz.de/10000048408
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Stochastic programming : achievements and open problems
Kall, Peter - 2001
Persistent link: https://www.econbiz.de/10001563641
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Quantitative Methoden in den Wirtschaftswissenschaften : Hans Paul Künzi zum 65. Geburtstag
Kall, Peter (ed.); Albach, Horst (contributor);  … - 1989
Persistent link: https://www.econbiz.de/10000080973
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Computer support for modeling in stochastic linear programming
Kall, Peter - In: Stochastic programming : numerical techniques and …, (pp. 54-70). 1995
Persistent link: https://www.econbiz.de/10001316287
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Computational aspects of prospect theory with asset pricing applications
De Giorgi, Enrico; Hens, Thorsten; Mayer, János - In: Computational economics 29 (2007) 3/4, pp. 267-281
Persistent link: https://www.econbiz.de/10003493801
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A large-scale optimization model for replicating portfolios in the life insurance industry
Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - 2016
Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance liabilities as closely as possible. We minimize the L1 error...
Persistent link: https://www.econbiz.de/10011515725
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Linearly constrained estimation by mathematical programming
Klafszky, Emil - In: European journal of operational research : EJOR 42 (1989) 3, pp. 254-267
Persistent link: https://www.econbiz.de/10001082970