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An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10010363905
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Optimal commodity asset allocation with a coherent market risk modeling
Al Janabi, Marzim A. M. - In: Review of financial economics : RFE 21 (2012) 3, pp. 131-140
Persistent link: https://www.econbiz.de/10009703027
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Hedging crash risk in optimal portfolio selection
Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012521210
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Practical financial optimization : decision making for financial engineers
Zenios, Stavros Andrea; Zenios, Stauros Andrea - 2007 - 1. publ.
Persistent link: https://www.econbiz.de/10002795544
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CVaR hedging using quantization-based stochastic approximation algorithm
Bardou, O.; Frikha, N.; Pagès, Gilles - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 184-229
Persistent link: https://www.econbiz.de/10011550286
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Value-at-risk optimization using the difference of convex algorithm
Wozabal, David - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 861-883
Persistent link: https://www.econbiz.de/10009631525
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Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.; Feng, Y.; Fouque, Jean-Pierre; Frittelli, Marco - In: Quantitative finance 23 (2023) 10, pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
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Nelder-Mead simplex optimization routine for large-scale problems : a distributed memory implementation
Klein, Kyle; Neira, Julian - In: Computational economics 43 (2014) 4, pp. 447-461
Persistent link: https://www.econbiz.de/10010396249
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Convergence detection for optimization algorithms : approximate-KKT stopping criterion when Lagrange multipliers are not available
Haeser, Gabriel; Melo, Vinícius V. de - In: Operations research letters 43 (2015) 5, pp. 484-488
Persistent link: https://www.econbiz.de/10011386446
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Multiobjective artificial fish swarm algorithm for multiple sequence alignment
Dabba, Ali; Tari, Abdelkamel; Zouache, Djaafar - In: INFOR : information systems and operational research 58 (2020) 1, pp. 38-59
Persistent link: https://www.econbiz.de/10012204195