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Utility maximization under mod...
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1
Robust worst-case optimal investment
Desmettre, Sascha
;
Korn, Ralf
;
Ruckdeschel, Peter
; …
- In:
OR spectrum : quantitative approaches in management
37
(
2015
)
3
,
pp. 677-701
Persistent link: https://www.econbiz.de/10011296715
Saved in:
2
Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Neufeld, Ariel
;
Ṥikić, Mario
- In:
Mathematical methods of operations research
90
(
2019
)
2
,
pp. 229-253
Persistent link: https://www.econbiz.de/10012132710
Saved in:
3
Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid
;
Matoussi, Anis
;
Mnif, Mohamed
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011686954
Saved in:
4
Loss-averse preferences and portfolio choices : an extension
Eeckhoudt, Louis R.
;
Fiori, Anna Maria
;
Rosazza Gianin, …
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 224-230
Persistent link: https://www.econbiz.de/10011435806
Saved in:
5
A set optimization approach to utility maximization under transaction costs
Hamel, Andreas
;
Calder-Wang, Sophie
- In:
Decisions in economics and finance : DEF ; a journal of …
40
(
2017
)
1/2
,
pp. 257-275
Persistent link: https://www.econbiz.de/10011997740
Saved in:
6
Superreplication under model uncertainty in discrete time
Nutz, Marcel
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 791-803
Persistent link: https://www.econbiz.de/10010416246
Saved in:
7
Robust utility maximization with Lévy processes
Neufeld, Ariel
;
Nutz, Marcel
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 82-105
Persistent link: https://www.econbiz.de/10011969154
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8
Selecting portfolios given multiple Eurostoxx-based uncertainty scenarios : a stochastic goal programming approach from fuzzy betas
Ballestero, Enrique
;
Pérez-Gladish, Blanca
; …
- In:
INFOR : information systems and operational research
47
(
2009
)
1
,
pp. 59-70
Persistent link: https://www.econbiz.de/10003959546
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9
Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Qin, Zhongfeng
- In:
European journal of operational research : EJOR
245
(
2015
)
2
,
pp. 480-488
Persistent link: https://www.econbiz.de/10011308984
Saved in:
10
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
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