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Robust portfolio optimization with copulas
Kakouris, Iakovos; Rustem, Berç - In: European journal of operational research : EJOR 235 (2014) 1, pp. 28-37
Persistent link: https://www.econbiz.de/10010361414
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Expected shortfall : heuristics and certificates
Ramponi, Federico Alessandro; Campi, Marco C. - In: European journal of operational research : EJOR 267 (2018) 3, pp. 1003-1013
Persistent link: https://www.econbiz.de/10011812858
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A general framework for portfolio theory : part I: theory and various models
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35
of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …
Persistent link: https://www.econbiz.de/10011867378
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Portfolio liquidation with delayed information
Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Economic modelling 126 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014461590
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Superreplication of financial derivatives via convex programming
Kahalé, Nabil - In: Management science : journal of the Institute for … 63 (2017) 7, pp. 2323-2339
Persistent link: https://www.econbiz.de/10011729383
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Integrating reference point, Kuhn-Tucker conditions and neural network approach for multi-objective and multi-level programming problems
Rizk-Allah, R. M.; Abo-Sinna, Mahmoud A. - In: Opsearch : journal of the Operational Research Society … 54 (2017) 4, pp. 663-683
Persistent link: https://www.econbiz.de/10011847490
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Optimization of system dynamics models : a novel methodology
Angün, Mevlüde Ebru; Kleijnen, Jack P. C.; Smits, … - 2023
Persistent link: https://www.econbiz.de/10014439377
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Constrained optimization im simulation : efficient global optimization and Karush-Kuhn-Tucker conditions
Kleijnen, Jack P. C.; Van Nieuwenhuyse, Inneke; Beers, … - 2022
Persistent link: https://www.econbiz.de/10013343254
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On the design of R-based scalable frameworks for data science applications
Theußl, Stefan Peter - 2020
Persistent link: https://www.econbiz.de/10012194139
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On the solution of multidimensional convex separable continuous knapsack problem with bounded variables
Stefanov, Stefan M. - In: European journal of operational research : EJOR 247 (2015) 2, pp. 366-369
Persistent link: https://www.econbiz.de/10011374496