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Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
Valladão, Davi; Silva, Thuener; Poggi, Marcus - In: Application of operations research to financial markets, (pp. 379-405). 2019
Persistent link: https://www.econbiz.de/10012160031
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Production planning under supply and demand uncertainty : a stochastic programming approach
Higle, Julia L.; Kempf, Karl G. - In: Stochastic programming : the state of the art ; in …, (pp. 297-315). 2011
Persistent link: https://www.econbiz.de/10008798649
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An interactive approach to stochastic programming-based portfolio optimization
Köksalan, Murat; Tuncer Şakar, Ceren - In: Multiple criteria decision making and economics, (pp. 47-66). 2016
Persistent link: https://www.econbiz.de/10011547437
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SMAA-PO: project portfolio optimization problems based on stochastic multicriteria acceptability analysis
Yang, Feng; Song, Shiling; Huang, Wei; Xia, Qiong - In: Mathematics in business management : [International …, (pp. 535-547). 2015
Persistent link: https://www.econbiz.de/10011488544
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A multistage risk-averse stochastic programming model for personal savings accrual : the evidence from Lithuania
Kabašinskas, Audrius; Maggioni, Francesca; Šutienė, … - 2019
Persistent link: https://www.econbiz.de/10012109495
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Optimal multistage defined-benefit pension fund management
Consigli, Giorgio; Moriggia, Vittorio; Benincasa, Elena; … - In: Handbook of recent advances in commodity and financial …, (pp. 267-296). 2018
Persistent link: https://www.econbiz.de/10011898658
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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004
Persistent link: https://www.econbiz.de/10002072557
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Dynamisches Risikomanagement in der Energiewirtschaft
Eichhorn, Andreas; Römisch, Werner - In: Innovative Modellierung und Optimierung von Energiesystemen, (pp. 255-271). 2009
Persistent link: https://www.econbiz.de/10003920738
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Portfolio optimization with risk control by stochastic dominance constraints
Dentcheva, Darinka; Ruszczyński, Andrzej P. - In: Stochastic programming : the state of the art ; in …, (pp. 189-211). 2011
Persistent link: https://www.econbiz.de/10008798656
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Stochastic programming approximations using limited moment information, with application to asset allocation
Edirisinghe, N. Chanaka P. - In: Stochastic programming : the state of the art ; in …, (pp. 97-138). 2011
Persistent link: https://www.econbiz.de/10008798665