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Managing losses in exotic horse race wagering
Deza, Antoine; Huang, Kai - In: Journal of the Operational Research Society 69 (2018) 3, pp. 319-325
Persistent link: https://www.econbiz.de/10012224984
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Focus programming : a bi-level programming approach to static stochastic optimization problems
Guo, Peijun; Zhu, Xide - In: International transactions in operational research : a … 30 (2023) 6, pp. 3833-3862
Persistent link: https://www.econbiz.de/10014328103
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Stochastic mechanism design : (extended abstract)
Ieong, Samuel; So, Anthony Man-Cho; Sundararajan, Mukund - In: Internet and network economics : third international …, (pp. 269-280). 2007
Persistent link: https://www.econbiz.de/10003648801
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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
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Towards implementable nonlinear stochastic programming
Sakalauskas, L. - In: Coping with uncertainty : modeling and policy issues, (pp. 257-279). 2006
Persistent link: https://www.econbiz.de/10003394891
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Valuation and optimal strategies for swing contract
Zhu, Zegang - 2005
Persistent link: https://www.econbiz.de/10003946500
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Generalized Kuhn-Tucker conditions for N-firm stochastic irreversible investment under limited resources
Chiarolla, Maria B.; Ferrari, Giorgio; Riedel, Frank - 2012
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...
Persistent link: https://www.econbiz.de/10009511650
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Nonlinear and stable perturbation-based approximations
Den Haan, Wouter J.; Wind, Joris de - In: Journal of economic dynamics & control 36 (2012) 10, pp. 1477-1497
Persistent link: https://www.econbiz.de/10009701975
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Nonlinear stochastic programming : with a case study in continuous switching
Pichler, Alois; Tomasgard, Asgeir - In: European journal of operational research : EJOR 252 (2016) 2, pp. 487-501
Persistent link: https://www.econbiz.de/10011457699
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An algorithm for two-stage stochastic mixed-integer nonlinear convex problems
Mijangos, Eugenio - 2015
Persistent link: https://www.econbiz.de/10011487057