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Adaptive algorithms for maximizing overall stock return
Lee, Charles H.; Tran, Kristy - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 2, pp. 81-95
Persistent link: https://www.econbiz.de/10008668155
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A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430
Persistent link: https://www.econbiz.de/10011291285
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FRTB's PL Attribution Tests Decomposed & Optimized
Mahfoudhi, Ridha - 2018
One of the key challenges implied by the upcoming regulatory framework for market risk, known as FRTB, is the PL attribution (PLA) tests. PLA tests constitute a major innovation in the way risk engine and models are assessed for effectiveness and accuracy (on both pricing and risk factors...
Persistent link: https://www.econbiz.de/10012922040
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Parallel scenario decomposition of risk-averse 0-1 stochastic programs
Deng, Yan; Ahmed, Shabbir; Shen, Siqian - In: INFORMS journal on computing : JOC 30 (2018) 1, pp. 90-105
Persistent link: https://www.econbiz.de/10011848149
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A novel semi-static method for the index tracking problem
Fu, Chun-Chong; Han, Chuan-Hsiang; Wang, Kun - 2024
Persistent link: https://www.econbiz.de/10015047448
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Risk-averse multistage stochastic programs with expected conditional risk measures
Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10015066893
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Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms
Andriosopoulos, Kostas; Doumpos, Michael; Papapostolou, … - In: Transportation research / E : an international journal 52 (2013), pp. 16-34
Persistent link: https://www.econbiz.de/10009735738
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A two stage stochastic programming for asset protection routing and a solution algorithm based on the Progressive Hedging algorithm
Bashiri, Mahdi; Nikzad, Erfaneh; Eberhard, Andrew; … - In: Omega : the international journal of management science 104 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012648548
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Towards operations research for all : XIX Latin Iberian American Conference on Operations Research, CLAIO 2018
Bonomo, Flavio (ed.); Cataldo, Alejandro (ed.);  … - Latin-Iberian-American Conference on Operations … - 2022
Persistent link: https://www.econbiz.de/10013483273
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Multi-market portfolio optimization with conditional value at risk
Nasini, Stefano; Labbé, Martine; Brotcorne, Luce - In: European journal of operational research : EJOR 300 (2022) 1, pp. 350-365
Persistent link: https://www.econbiz.de/10013173861