scientific article; zbMATH DE number 6118209

MaRDI QIDQ3145783zbMATH OpenFDO

Authors Stavros A. Zenios

Publication date 23 December 2012

Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Nonlinear programming (90C30)

Cited in

(5)

• Models and model value in stochastic programming
• Mixing stochastic dynamic programming and scenario aggregation
• Multiperiod mean-variance optimization with intertemporal restrictions
• A portfolio-based evaluation of affine term structure models
• Multi-period stochastic portfolio optimization: block-separable decomposition

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