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Time-Consistent Mean-Variance Portfolio Selection with Only Risky Assets
Pun, Chi Seng - 2018
Time-consistency and optimal diversification (minimum-variance) criteria are popular in the dynamic portfolio construction in practice. This paper is devoted to the exact analytic solution of the time-consistent mean-variance portfolio selection with assets that can be all risky in a...
Persistent link: https://www.econbiz.de/10012934065
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Robust Utility Maximization Under Model Uncertainty via a Penalization Approach
Guo, Ivan; Langrené, Nicolas; Loeper, Gregoire; Ning, Wei - 2020
associated Hamilton–Jacobi–Bellman–Isaacs equation. We test this robust algorithm on real market data. The results show that …
Persistent link: https://www.econbiz.de/10014096889
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Computational suite of models with heterogeneous agents : incomplete markets and aggregate uncertainty
Den Haan, Wouter J.; Judd, Kenneth L.; Juillard, Michel - In: Journal of economic dynamics & control 34 (2010) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10003922068
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Radner equilibria under ambiguous volatility
Beißner, Patrick - 2013
The present paper considers a class of general equilibrium economics when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate...
Persistent link: https://www.econbiz.de/10010212527
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A robust optimization model for a supply chain under uncertainty
Hosseini, Sara; Farahani, Reza Zanjirani; Dullaert, Wout; … - In: IMA journal of management mathematics 25 (2014) 4, pp. 387-402
Persistent link: https://www.econbiz.de/10011349633
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An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10010363905
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A note on computing the center of uncertain data on the real line
Wang, Haitao; Zhang, Jingru; Zyma, Kenneth - In: Operations research letters 44 (2016) 3, pp. 370-373
Persistent link: https://www.econbiz.de/10011506150
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Lawler's minmax cost algorithm : optimality conditions and uncertainty
Brauner, Nadia; Finke, Gerd; Shafransky, Yakov; … - In: Journal of scheduling 19 (2016) 4, pp. 401-408
Persistent link: https://www.econbiz.de/10011542085
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A parallelizable algorithmic framework for solving large scale multi-stage stochastic mixed 0-1 problems under uncertainty
Escudero, Laureano F.; Garín, María Araceli; Merino, … - 2011
Persistent link: https://www.econbiz.de/10008934723
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Robust Wagner-Whitin algorithm with uncertain costs
Hanafizadeh, Payam; Shahin, Amir; Sajadifar, Mehdi - In: Journal of industrial engineering international 15 (2019) 3, pp. 435-447
the Wagner–Whitin algorithm to consider stochastic costs. However, they assume that the information of probability density … used the Wagner-Whitin algorithm to find an optimal solution of its robust counterpart. The solution of the proposed … algorithm in an example from the literature is compared with the classical one. …
Persistent link: https://www.econbiz.de/10012099236