Financial optimization: optimization paradigms and financial planning under uncertainty

DOI10.1007/S00291-015-0406-YzbMATH Open1317.00009OpenAlexW2106059453MaRDI QIDQ2516633FDOQ2516633

Authors:

Publication date: 3 August 2015

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-015-0406-y

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cites Work

• A linear risk-return model for enhanced indexation in portfolio optimization
• A general test for SSD portfolio efficiency
• Portfolio optimization in a defaultable Lévy-driven market model
• Data-driven portfolio management with quantile constraints
• Robust worst-case optimal investment
• Structure of risk-averse multistage stochastic programs
• Choquet-based European option pricing with stochastic (and fixed) strikes
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Jump-diffusion asset-liability management via risk-sensitive control
• Approximating multivariate Markov chains for bootstrapping through contiguous partitions

Cited In (4)

• Volatility versus downside risk: performance protection in dynamic portfolio strategies
• Preface: Decision making and risk/return optimization in financial economics
• Solving long-term financial planning problems via global optimization
• Concepts, technical issues, and uses of the Russell-Yasuda Kasai financial planning model

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