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Robust min-max portfolio strat...
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Robust min-max portfolio strategies for rival forecast and risk scenarios
Rustem, Berç
;
Becker, Robin G.
;
Marty, Wolfgang
- In:
Journal of economic dynamics & control
24
(
2000
)
11/12
,
pp. 1591-1621
Persistent link: https://www.econbiz.de/10001508754
Saved in:
2
Robust optimal decisions with stochastic nonlinear economic systems
Becker, Robin G.
- In:
Journal of economic dynamics & control
18
(
1994
)
1
,
pp. 125-147
Persistent link: https://www.econbiz.de/10001148509
Saved in:
3
EINTERP and DEINTERP procedures for the evaluation of expressions and their differentials
Becker, Robin G.
- In:
Journal of economic dynamics & control
14
(
1990
)
2
,
pp. 281-297
Persistent link: https://www.econbiz.de/10001088281
Saved in:
4
A constrained min-max algorithm for rival models
Rustem, Berç
- In:
Journal of economic dynamics & control
12
(
1988
)
1
,
pp. 101-107
Persistent link: https://www.econbiz.de/10001046046
Saved in:
5
Computing optimal multi-currency mean-variance portfolios
Rustem, Berç
- In:
Journal of economic dynamics & control
19
(
1995
)
5
,
pp. 901-908
Persistent link: https://www.econbiz.de/10001184980
Saved in:
6
Projection methods in constrained optimisation and applications to optimal policy decisions
Rustem, Berç
-
1981
Persistent link: https://www.econbiz.de/10000071862
Saved in:
7
A mixed integer programming model for multistage mean-variance post-tax optimization
Osorio, Maria A.
;
Gulpinar, Nalan
;
Rustem, Berç
- In:
European journal of operational research : EJOR
185
(
2008
)
2
,
pp. 451-480
Persistent link: https://www.econbiz.de/10003768911
Saved in:
8
A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems
Faísca, Nuno P.
;
Saraiva, Pedro M.
;
Rustem, Berç
; …
- In:
Computational Management Science : CMS
6
(
2009
)
4
,
pp. 377-397
Persistent link: https://www.econbiz.de/10003881953
Saved in:
9
Computational approaches to economic problems : [papers presented at the first conference of the Society for Computational Economics held at ICC Institute, Austin, Texas, May 21-24...
Amman, Hans M.
(
ed.
);
Rustem, Berç
(
contributor
); …
-
1997
Persistent link: https://www.econbiz.de/10008729827
Saved in:
10
Robust portfolio optimization with derivative insurance guarantees
Zymler, Steve
;
Rustem, Berç
;
Kuhn, Daniel
- In:
European journal of operational research : EJOR
210
(
2011
)
2
,
pp. 410-424
Persistent link: https://www.econbiz.de/10008841180
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