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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid - In: Finance and stochastics 21 (2017) 2, pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
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Applied intertemporal optimization : textbook and solutions manual
Wälde, Klaus - 2012 - Ed. 1.2 plus
Persistent link: https://www.econbiz.de/10009722207
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Multi-period portfolio selection with no-shorting constraints : duality analysis
Qi, Jun; Yi, Lan - In: Journal of mathematical finance 7 (2017) 3, pp. 751-768
Persistent link: https://www.econbiz.de/10011752542
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Robust consumption and portfolio choice for time varying investment opportunities
Liu, Hening - In: Annals of finance 6 (2010) 4, pp. 435-454
Persistent link: https://www.econbiz.de/10008652613
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Robust consumption decisions under ambiguity for regime switching mean returns
Liu, Hening - 2009
concern about model uncertainty decreases the total demand for equities largely depends on risk aversion and the attitude … toward intertemporal substitution. When the elasticity of intertemporal substitution (EIS) is about one and risk aversion is …
Persistent link: https://www.econbiz.de/10003987303
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Dynamic portfolio and consumption decisions under ambiguity for time varying investment opportunities
Liu, Hening - 2008
Persistent link: https://www.econbiz.de/10011573158
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Lawler's minmax cost algorithm : optimality conditions and uncertainty
Brauner, Nadia; Finke, Gerd; Shafransky, Yakov; … - In: Journal of scheduling 19 (2016) 4, pp. 401-408
Persistent link: https://www.econbiz.de/10011542085
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A multi-objective optimization approach for integrated production planning under interval uncertainties in the steel industry
Lin, Jianhua; Liu, Min; Hao, Jinghua; Jiang, Shenglong - In: Computers & operations research : and their … 72 (2016), pp. 189-203
Persistent link: https://www.econbiz.de/10011488211
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A robust optimization model for a supply chain under uncertainty
Hosseini, Sara; Farahani, Reza Zanjirani; Dullaert, Wout; … - In: IMA journal of management mathematics 25 (2014) 4, pp. 387-402
Persistent link: https://www.econbiz.de/10011349633
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Multi-objective optimization in uncertain random environments
Zhou, Jian; Yang, Fan; Wang, Ke - In: Fuzzy optimization and decision making : a journal of … 13 (2014) 4, pp. 397-413
Persistent link: https://www.econbiz.de/10010439002