Works matching IS 02545330 AND DT 2007 AND VI 152 AND IP 1
Results: 17
A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 395, doi. 10.1007/s10479-006-0138-0
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Scenario optimization asset and liability modelling for individual investors.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 167, doi. 10.1007/s10479-006-0133-5
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Multi-period stochastic portfolio optimization: Block-separable decomposition.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 367, doi. 10.1007/s10479-006-0129-1
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Financial scenario generation for stochastic multi-stage decision processes as facility location problems.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 257, doi. 10.1007/s10479-006-0140-6
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A stochastic programming model for asset liability management of a Finnish pension company.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 115, doi. 10.1007/s10479-006-0135-3
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Coherent multiperiod risk adjusted values and Bellman’s principle.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 5, doi. 10.1007/s10479-006-0132-6
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Conditional value at risk and related linear programming models for portfolio optimization.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 227, doi. 10.1007/s10479-006-0142-4
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A sample-path approach to optimal position liquidation.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 193, doi. 10.1007/s10479-006-0143-3
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Preface.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 1, doi. 10.1007/s10479-006-0146-0
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Strategic foreign reserves risk management: Analytical framework.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 79, doi. 10.1007/s10479-006-0124-6
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A semi-analytical method for VaR and credit exposure analysis.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 23, doi. 10.1007/s10479-006-0123-7
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Portfolio optimization with linear and fixed transaction costs.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 341, doi. 10.1007/s10479-006-0145-1
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Credit risk optimization using factor models.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 49, doi. 10.1007/s10479-006-0136-2
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Parallel interior-point solver for structured quadratic programs: Application to financial planning problems.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 319, doi. 10.1007/s10479-006-0139-z
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Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 141, doi. 10.1007/s10479-006-0144-2
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Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 297, doi. 10.1007/s10479-006-0137-1
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Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis.
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- Annals of Operations Research, 2007, v. 152, n. 1, p. 273, doi. 10.1007/s10479-006-0141-5
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