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Alternative decision models for liability-driven investment

Schwaiger, Katharina; Lucas, Cormac; Mitra, Gautam - In: The journal of asset management 11 (2010/11) 2/3, pp. 178-193

Persistent link: https://www.econbiz.de/10008663607

Extending algebraic modelling languages for stochastic programming

Valente, Christian; Mitra, Gautam; Sadki, Mustapha; … - In: INFORMS journal on computing : JOC 21 (2009) 1, pp. 107-122

Persistent link: https://www.econbiz.de/10003896676

Robust solutions and risk measures for a supply chain planning problem under uncertainty

Poojari, C. A.; Lucas, Cormac; Mitra, Gautam - In: Journal of the Operational Research Society : OR 59 (2008) 1, pp. 2-12

Persistent link: https://www.econbiz.de/10003698657

Hidden Markov models for financial optimization problems

Roman, Diana; Mitra, Gautam; Spagnolo, Nicola - In: IMA journal of management mathematics 21 (2010) 2, pp. 111-129

Persistent link: https://www.econbiz.de/10003984220

Asset liability management using stochastic programming

Pribhai, Mehndi; Mitra, Gautam; Kyriakis, Triphonas - In: Asset and liability management tools, (pp. 295-308). 2003

Persistent link: https://www.econbiz.de/10002169392

Market Regime Identification Using Hidden Markov Models

Yuan, Yuan - 2019

Market conditions change over time leading to up-beat (bullish) or down-beat (bearish) market sentiments. The concept of bull and bear markets, also known as market regimes, is introduced to describe market status. Since regimes of the total market are not observable and the return can be...

Persistent link: https://www.econbiz.de/10012868252

Novel approaches for portfolio construction using second order stochastic dominance

Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10011710779