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High-dimensional portfolio optimization with transaction costs
Broadie, Mark; Shen, Weiwei - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-49
Persistent link: https://www.econbiz.de/10011523840
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Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression : a multi-stage stochastic integer programming approach
Maier, Sebastian; Polak, John W.; Gann, David M. - In: Computers & operations research : and their … 115 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012162625
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Optimal decision-making of mutual fund temporary borrowing problem via approximate dynamic programming
Luo, Xuyang; Song, Chunyue - In: Computers & operations research : and their … 153 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014265762
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Optimal investment : bounds and heuristics
Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011442629
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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
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Portfolio optimization under partial information with expert opinions
Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009562133
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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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Optimal policy for a time consistent mean-variance model with regime switching
Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234
Persistent link: https://www.econbiz.de/10011567026
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Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
Keykhaei, Reza - In: RAIRO / Operations research 53 (2019) 4, pp. 1171-1186
Persistent link: https://www.econbiz.de/10012118960
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Personalized robo-advising : enhancing investment through client interaction
Capponi, Agostino; Ólafsson, Sveinn; … - In: Management science : journal of the Institute for … 68 (2022) 4, pp. 2485-2512
Persistent link: https://www.econbiz.de/10013368225