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Testing for third-order stochastic dominance with diversification possibilities
Post, Thierry (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001641680
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A stochastic optimization approach to financial decision making
Koivu, Matti - 2004
Persistent link: https://www.econbiz.de/10002052165
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Stochastic optimization for enterprise risk management
Zhang, Zhuojuan - 2006
Persistent link: https://www.econbiz.de/10003946505
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Risk aversion in multistage stochastic programming : a modeling and algorithmic perspective
Homem-de-Mello, Tito; Pagnoncelli, Bernardo K. - In: European journal of operational research : EJOR 249 (2016) 1, pp. 188-199
Persistent link: https://www.econbiz.de/10011435793
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On integrated chance constraints in alm for pension funds
Toukourou, Youssouf A. F.; Boutin-Dufresne, François - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 571-609
Persistent link: https://www.econbiz.de/10011875667
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Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-33
Persistent link: https://www.econbiz.de/10012153045
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Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
Duarte, Thiago B.; Valladão, Davi M.; Veiga, Alvaro - In: Insurance / Mathematics & economics 77 (2017), pp. 177-188
Persistent link: https://www.econbiz.de/10011783945
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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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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
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Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441
Persistent link: https://www.econbiz.de/10010356735