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Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …

Persistent link: https://www.econbiz.de/10010512497

Linear programming and the control of diffusion processes

Ahn, Andrew; Haugh, Martin B. - In: INFORMS journal on computing : JOC 27 (2015) 4, pp. 646-657

Persistent link: https://www.econbiz.de/10011422652

Linear tests for decreasing absolute risk aversion stochastic dominance

Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629

Persistent link: https://www.econbiz.de/10011304114

A large-scale optimization model for replicating portfolios in the life insurance industry

Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - 2016

Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance liabilities as closely as possible. We minimize the L1 error...

Persistent link: https://www.econbiz.de/10011515725

Testing for the stochastic dominance efficiency of a given portfolio

Linton, Oliver; Post, Thierry; Whang, Yoon-jae - In: The econometrics journal 17 (2014) 2, pp. 59-74

Persistent link: https://www.econbiz.de/10010498726

Linear programming models based on omega ratio for the enhanced index tracking problem

Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: European journal of operational research : EJOR 251 (2016) 3, pp. 938-956

Persistent link: https://www.econbiz.de/10011449041

A linear risk-return model for enhanced indexation in portfolio optimization

Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 735-759

Persistent link: https://www.econbiz.de/10011296700

A general test for SSD portfolio efficiency

Kopa, Milos̆; Post, Thierry - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 703-734

Persistent link: https://www.econbiz.de/10011296708

Tangency portfolios in the LP solvable portfolio selection models

Keykhaei, Reza; Jahandideh, Mohamad Taghi - In: RAIRO / Operations research 46 (2012) 2, pp. 149-158

Persistent link: https://www.econbiz.de/10010222525

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

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