Developing a multi-period robust optimization model considering American style options
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Publication:889540
DOI10.1007/S10479-013-1461-XzbMATH Open1325.90099OpenAlexW2055245189MaRDI QIDQ889540FDOQ889540
Authors: Saeed Marzban, M. Mahootchi, Alireza Arshadi Khamseh 
Publication date: 9 November 2015
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-013-1461-x
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Cites Work
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Cited In (8)
- Portfolio optimization with transaction costs: a two-period mean-variance model
- Recent advancements in robust optimization for investment management
- Option implied ambiguity and its information content: evidence from the subprime crisis
- The impact of customer returns and bidirectional option contract on refund price and order decisions
- Robust portfolio optimization: a categorized bibliographic review
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
- A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
- Option pricing and coordination in the fresh produce supply chain with portfolio contracts
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