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Robust multiperiod portfolio management in the presence of transaction costs

Bertsimas, Dimitris; Pachamanova, Dessislava A. - In: Computers & operations research : and their … 35 (2008) 1, pp. 3-17

Persistent link: https://www.econbiz.de/10003665715

Inverse optimization : a new perspective on the Black-Litterman model

Bertsimas, Dimitris; Gupta, Vishal; Paschalidis, Ioannis Ch. - In: Operations research 60 (2012) 6, pp. 1389-1403

Persistent link: https://www.econbiz.de/10009701926

Shortfall as a risk measure : properties, optimization and applications

Bertsimas, Dimitris; Lauprete, Geoffrey J.; Samarov, … - In: Journal of economic dynamics & control 28 (2004) 7, pp. 1353-1381

Persistent link: https://www.econbiz.de/10001880835

Optimal control of execution costs

Bertsimas, Dimitris - In: Journal of financial markets 1 (1998) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10001249274

Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery

Barberio, Joseph; Becraft, Jacob; Ben Chaouch, Zied; … - National Bureau of Economic Research - 2022

We analyze the financial performance of a hypothetical portfolio of 120 mRNA vaccine candidates in the preclinical stage targeting 11 emerging infectious diseases. We calibrate the simulation parameters with input from domain experts in mRNA technology and an extensive literature review. We find...

Persistent link: https://www.econbiz.de/10013334345

A scalable algorithm for sparse portfolio selection

Bertsimas, Dimitris; Cory-Wright, Ryan - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1489-1511

Persistent link: https://www.econbiz.de/10013361693

Algorithm for cardinality-constrained quadratic optimization

Bertsimas, Dimitris; Shioda, Romy - In: Computational Optimization and Applications 43 (2009) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10004999520