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A stochastic programming model with decision dependent uncertainty realizations for technology portfolio management
Solak, Senay; Clarke, John-Paul; Johnson, Ellis; … - In: Operations research proceedings 2007 : selected papers …, (pp. 75-80). 2008
Persistent link: https://www.econbiz.de/10003716095
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Selecting portfolios given multiple Eurostoxx-based uncertainty scenarios : a stochastic goal programming approach from fuzzy betas
Ballestero, Enrique; Pérez-Gladish, Blanca; … - In: INFOR : information systems and operational research 47 (2009) 1, pp. 59-70
Persistent link: https://www.econbiz.de/10003959546
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Stochastic programming in multistage financial planning
Şimşek, Koray Deniz - 2004
Persistent link: https://www.econbiz.de/10003551603
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Robust consumption decisions under ambiguity for regime switching mean returns
Liu, Hening - 2009
This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with Du e and Epstein (1992a)'s recursive preferences who worries about model misspecification (model uncertainty) and wants to seek robust decision rules. The expected excess return of a...
Persistent link: https://www.econbiz.de/10003987303
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Robust consumption and portfolio choice for time varying investment opportunities
Liu, Hening - In: Annals of finance 6 (2010) 4, pp. 435-454
Persistent link: https://www.econbiz.de/10008652613
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Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488
Persistent link: https://www.econbiz.de/10011308984
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Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441
Persistent link: https://www.econbiz.de/10010356735
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Multistage decision-making fuzzy methodology for optimal investments based on experts' evaluations
Sirbiladze, Gia; Khutsishvili, Irina; Ghvaberidze, Bezhan - In: European journal of operational research : EJOR 232 (2014) 1, pp. 169-177
Persistent link: https://www.econbiz.de/10010224720
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Robust-based interactive portfolio selection problems with an uncertainty set of returns
Hasuike, Takashi; Katagiri, Hideki - In: Fuzzy optimization and decision making : a journal of … 12 (2013) 3, pp. 263-288
Persistent link: https://www.econbiz.de/10010232691
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Stochastic programming for vendor portfolio selection and order allocation under delivery uncertainty
Lee, Chia-yen; Chien, Chen-fu - In: OR spectrum : quantitative approaches in management 36 (2014) 3, pp. 761-797
Persistent link: https://www.econbiz.de/10010375215