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Multistage stochastic programming in computational finance
Gulpinar, Nalan; Rustem, Berç; Settergren, Reuben - In: Computational methods in decision-making, economics and …, (pp. 35-47). 2010
Persistent link: https://www.econbiz.de/10009153100
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Post tax optimal investments
Osorio, Maria A.; Settergren, Reuben; Rustem, Berç; … - In: Financial engineering, E-commerce and supply chain, (pp. 153-174). 2002
Persistent link: https://www.econbiz.de/10001747026
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Computing optimal multi-currency mean-variance portfolios
Rustem, Berç - In: Journal of economic dynamics & control 19 (1995) 5, pp. 901-908
Persistent link: https://www.econbiz.de/10001184980
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International portfolio management with affine policies
Fonseca, Raquel J.; Rustem, Berç - In: European journal of operational research : EJOR 223 (2012) 1, pp. 177-187
Persistent link: https://www.econbiz.de/10009613971
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Robust min-max portfolio strategies for rival forecast and risk scenarios
Rustem, Berç; Becker, Robin G.; Marty, Wolfgang - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1591-1621
Persistent link: https://www.econbiz.de/10001508754
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Simulation and optimization approaches to scenario tree generation
Gülpınar, Nalân; Rustem, Berç; Settergren, Reuben - In: Journal of economic dynamics & control 28 (2004) 7, pp. 1291-1315
Persistent link: https://www.econbiz.de/10001880805
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Robust international portfolio management
Fonseca, Raquel J.; Wiesemann, Wolfram; Rustem, Berç - In: Computational Management Science : CMS 9 (2012) 1, pp. 31-62
Persistent link: https://www.econbiz.de/10009426599
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Dynamic mean-variance portfolio analysis under model risk
Kuhn, Daniel; Parpas, Panos; Rustem, Berç; Fonseca, Raquel - In: The journal of computational finance 12 (2009) 4, pp. 91-115
Persistent link: https://www.econbiz.de/10009534610
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Robust portfolio optimization with derivative insurance guarantees
Zymler, Steve; Rustem, Berç; Kuhn, Daniel - In: European journal of operational research : EJOR 210 (2011) 2, pp. 410-424
Persistent link: https://www.econbiz.de/10008841180
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Robust optimization of currency portfolios
Fonseca, Raquel J.; Zymler, Steve; Wiesemann, Wolfram; … - In: The journal of computational finance 15 (2011/12) 1, pp. 3-30
Persistent link: https://www.econbiz.de/10009382527