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Pricing cataastrophe bonds with multistage stochastic programming
Georgiopoulos, Nick - In: Computational Management Science : CMS 14 (2017) 3, pp. 297-312
Persistent link: https://www.econbiz.de/10011710821
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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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Stochastic maximum flow interdiction problems under heterogeneous risk preferences
Lei, Xiao; Shen, Siqian; Song, Yongjia - In: Computers & operations research : and their … 90 (2018), pp. 97-109
Persistent link: https://www.econbiz.de/10011775269
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Second-order stochastic dominance constrained portfolio optimization : theory and computational tests
Kallio, Markku; Hardoroudi, Nasim Dehghan - In: European journal of operational research : EJOR 264 (2018) 2, pp. 675-685
Persistent link: https://www.econbiz.de/10011801909
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Robust decision making using a general utility set
Hu, Jian; Bansal, Manish; Mehrotra, Sanjay - In: European journal of operational research : EJOR 269 (2018) 2, pp. 699-714
Persistent link: https://www.econbiz.de/10011864436
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Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
Mahmutoğulları, Ali İrfan; Çavuş, Özlem; Aktürk, … - In: European journal of operational research : EJOR 266 (2018) 2, pp. 595-608
Persistent link: https://www.econbiz.de/10011811837
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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 linear stochastic programming model for optimal leveraged portfolio selection
Valladão, Davi Michel; Veiga, Alvaro; Street, Alexandre - In: Computational economics 51 (2018) 4, pp. 1021-1032
Persistent link: https://www.econbiz.de/10011972212
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Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay; Rudolf, Gábor - In: Operations research 66 (2018) 2, pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
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Stochastic optimization for investment in facilities in emergency prevention
Hu, Shao-Long; Han, Chuan-Feng; Meng, Ling-Peng - In: Transportation research / E : an international journal 89 (2016), pp. 14-31
Persistent link: https://www.econbiz.de/10011494144