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Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022
Persistent link: https://www.econbiz.de/10013263291
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Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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Mathematical programs with distributionally robust chance constraints : statistical robustness, discretization and reformulation
Jiang, Jie; Peng, Shen - In: European journal of operational research : EJOR 313 (2024) 2, pp. 616-627
Persistent link: https://www.econbiz.de/10014456605