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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

Non-separation in the mean-lower-partial-moment portfolio optimization problem

Brogan, Anita J.; Stidham, Shaler - In: European journal of operational research : EJOR 184 (2008) 2, pp. 701-710

Persistent link: https://www.econbiz.de/10003768334

Genetic algorithms for portfolio selection problems with minimum transaction lots

Lin, Chang-chun; Liu, Yi-ting - In: European journal of operational research : EJOR 185 (2008) 1, pp. 393-404

Persistent link: https://www.econbiz.de/10003768790

Optimal consumption and investment under partial information

Putschögl, Wolfgang; Sass, Jörn - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 2, pp. 137-170

Persistent link: https://www.econbiz.de/10003771480

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 …