Works matching IS 01716468 AND DT 2015 AND VI 37 AND IP 3

Results: 11

Jump-diffusion asset-liability management via risk-sensitive control.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 655, doi. 10.1007/s00291-014-0371-x

By:

Davis, Mark;
Lleo, Sébastien

Publication type:

Article

Portfolio optimization in a defaultable Lévy-driven market model.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 617, doi. 10.1007/s00291-014-0374-7

By:

Pagliarani, Stefano;
Vargiolu, Tiziano

Publication type:

Article

A general test for SSD portfolio efficiency.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 703, doi. 10.1007/s00291-014-0373-8

By:

Kopa, Miloš;
Post, Thierry

Publication type:

Article

A combined stochastic programming and optimal control approach to personal finance and pensions.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 583, doi. 10.1007/s00291-014-0375-6

By:

Konicz, Agnieszka;
Pisinger, David;
Rasmussen, Kourosh;
Steffensen, Mogens

Publication type:

Article

Structure of risk-averse multistage stochastic programs.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 559, doi. 10.1007/s00291-014-0379-2

By:

Dupačová, Jitka;
Kozmík, Václav

Publication type:

Article

Choquet-based European option pricing with stochastic (and fixed) strikes.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 787, doi. 10.1007/s00291-014-0378-3

By:

Driouchi, Tarik;
Trigeorgis, Lenos;
Gao, Yongling

Publication type:

Article

Data-driven portfolio management with quantile constraints.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 761, doi. 10.1007/s00291-015-0396-9

By:

Çetinkaya, Elçin;
Thiele, Aurélie

Publication type:

Article

A linear risk-return model for enhanced indexation in portfolio optimization.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 735, doi. 10.1007/s00291-014-0383-6

By:

Bruni, Renato;
Cesarone, Francesco;
Scozzari, Andrea;
Tardella, Fabio

Publication type:

Article

Approximating multivariate Markov chains for bootstrapping through contiguous partitions.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 803, doi. 10.1007/s00291-015-0397-8

By:

Cerqueti, Roy;
Falbo, Paolo;
Guastaroba, Gianfranco;
Pelizzari, Cristian

Publication type:

Article

Financial Optimization: optimization paradigms and financial planning under uncertainty.

Published in:

2015

By:

Consigli, Giorgio;
Brandimarte, Paolo;
Kuhn, Daniel

Publication type:

Editorial

Robust worst-case optimal investment.

Published in:

OR Spectrum, 2015, v. 37, n. 3, p. 677, doi. 10.1007/s00291-014-0370-y

By:

Desmettre, Sascha;
Korn, Ralf;
Ruckdeschel, Peter;
Seifried, Frank

Publication type:

Article