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Threshold accepting approach to improve bound-based approximations for portfolio optimization

Kuhn, Daniel; Parpas, Panos; Rustem, Berç - In: Computational methods in financial engineering : essays …, (pp. 3-26). 2008

Persistent link: https://www.econbiz.de/10003669410

A stochastic multiscale model for electricity generation capacity expansion

Parpas, Panos; Webster, Mort - In: European journal of operational research : EJOR 232 (2014) 2, pp. 359-374

Persistent link: https://www.econbiz.de/10010224695

On the information-based complexity of stochastic programming

Tavares, Gabriela; Parpas, Panos - In: Operations research letters 41 (2013) 6, pp. 622-626

Persistent link: https://www.econbiz.de/10010236083

Importance sampling in stochastic programming : a Markov chain Monte Carlo approach

Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377

Persistent link: https://www.econbiz.de/10011291297

Stochastic optimization and worst-case analysis in monetary policy design

Rustem, Berc; Wieland, Volker; Zakovic, Stan - 2005

In this paper we compare expected loss minimization to worst-case or minimax analysis in the design of simple Taylor-style rules for monetary policy using a small model estimated for the euro area by Orphanides and Wieland (2000). We find that rules optimized under a minimax objective in the...

Persistent link: https://www.econbiz.de/10010298304