Narrow search
Showing 1 - 10 of 10,534
Cover Image
Optimal portfolios with stochastic interest rates and defaultable assets
Kraft, Holger - 2004
Persistent link: https://www.econbiz.de/10002018962
Cover Image
Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022
Persistent link: https://www.econbiz.de/10013263291
Cover Image
An alternative approach to portfolio selection problem via stochastic differential delay equations
Viaşu, Ioana - In: Review of economic studies and research Virgil Madgearu 8 (2015) 2, pp. 125-136
Persistent link: https://www.econbiz.de/10011719883
Cover Image
Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
Cover Image
The cost of delay as risk measure in target-based multi-period portfolio selection models
Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377
Persistent link: https://www.econbiz.de/10014634191
Cover Image
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
Cover Image
On the semimartingale property via bounded logarithmic utility
Larsen, Kasper; Žitković, Gordan - In: Annals of finance 4 (2008) 2, pp. 255-268
Persistent link: https://www.econbiz.de/10003645478
Cover Image
A resource portfolio planning model using sampling-based stochastic programming and genetic algorithm
Wang, K.-J.; Wang, S.-M.; Chen, James-C. - In: European journal of operational research : EJOR 184 (2008) 1, pp. 327-340
Persistent link: https://www.econbiz.de/10003768214
Cover Image
Robust utility maximization in a stochastic factor model
Hernández-Hernández, Daniel (contributor);  … - 2005
dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general … duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …
Persistent link: https://www.econbiz.de/10003324220
Cover Image
Dynamic asset allocation strategies using a stochastic dynamic programming approach
Infanger, Gerd - 2006
Persistent link: https://www.econbiz.de/10003356686