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Additive and multiplicative duals for American option pricing

Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179

Persistent link: https://www.econbiz.de/10003439750

American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach

Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632

Persistent link: https://www.econbiz.de/10010381847

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230

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

Stochastic modeling and optimization : with applications in queues, finance, and supply chains

Yao, David D. (contributor); Zhang, Hanqin (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001692168

Multi-period and tri-objective uncertain portfolio selection model : A behavioral approach

Jin, Xiu; Chen, Na; Yuan, Ying - In: The North American journal of economics and finance : a … 47 (2019), pp. 492-504

Persistent link: https://www.econbiz.de/10012120121

Pump scheduling optimization in water distribution system based on mixed integer linear programming

Shao, Yu; Zhou, Xinhong; Yu, Tingchao; Zhang, Tuqiao; … - In: European journal of operational research : EJOR 313 (2024) 3, pp. 1140-1151

Persistent link: https://www.econbiz.de/10014456683

Variable neighborhood search for quadratic multiple constraint variable sized bin-packing problem

Meng, Fanchao; Cao, Bo; Chu, Dianhui; Ji, Qingran; … - In: Computers & operations research : and their … 143 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013343324

Information Relaxation and A Duality-Driven Algorithm for Stochastic Dynamic Programs

Chen, Nan - 2020

We use the technique of information relaxation to develop a duality-driven iterative approach to obtaining and improving confidence interval estimates for the true value of finite-horizon stochasticdynamic programming problems. We show that the sequence of dual value estimates yielded from the...

Persistent link: https://www.econbiz.de/10012848670