Financial optimization: optimization paradigms and financial planning under uncertainty

DOI10.1007/S00291-015-0406-YMaRDI QIDQ2516633zbMATH OpenOpenAlexFDO

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

Cited in

(4)

• Concepts, technical issues, and uses of the Russell-Yasuda Kasai financial planning model
• 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

This page was built for publication: Financial optimization: optimization paradigms and financial planning under uncertainty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2516633)