A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation.
- Published in:
- Mathematical Programming, 2001, v. 89, n. 2, p. 293, doi. 10.1007/PL00011400
- By:
- Publication type:
- Article
Works matching IS 00255610 AND DT 2001 AND VI 89 AND IP 2
Results: 7
1
2
On consistency of stochastic dominance and mean-semideviation models.
- Published in:
- Mathematical Programming, 2001, v. 89, n. 2, p. 217, doi. 10.1007/PL00011396
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- Publication type:
- Article
3
Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints.
- Published in:
- Mathematical Programming, 2001, v. 89, n. 2, p. 233, doi. 10.1007/PL00011397
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- Publication type:
- Article
4
Scenario tree generation for multiperiod financial optimization by optimal discretization.
- Published in:
- Mathematical Programming, 2001, v. 89, n. 2, p. 251, doi. 10.1007/PL00011398
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- Publication type:
- Article
5
Credit risk optimization with Conditional Value-at-Risk criterion.
- Published in:
- Mathematical Programming, 2001, v. 89, n. 2, p. 273, doi. 10.1007/PL00011399
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- Publication type:
- Article
6
Introduction to financial optimization: Mathematical Programming Special Issue.
- Published in:
- Mathematical Programming, 2001, v. 89, n. 2, p. 205, doi. 10.1007/PL00011395
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- Publication type:
- Article
7
Integrated simulation and optimization models for tracking international fixed income indices.
- Published in:
- Mathematical Programming, 2001, v. 89, n. 2, p. 311, doi. 10.1007/PL00011401
- By:
- Publication type:
- Article