Pages that link to "Item:Q1313141"
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The following pages link to Multi-stage stochastic linear programs for portfolio optimization (Q1313141):
Displayed 50 items.
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets (Q299865) (← links)
- A moment-matching method to generate arbitrage-free scenarios (Q319831) (← links)
- A robust asset-liability management framework for investment products with guarantees (Q331783) (← links)
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
- Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection (Q538296) (← links)
- Constant rebalanced portfolio optimization under nonlinear transaction costs (Q538327) (← links)
- Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach (Q704083) (← links)
- A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems (Q781111) (← links)
- Developing a multi-period robust optimization model considering American style options (Q889540) (← links)
- On-line portfolio selection using stochastic programming (Q951342) (← links)
- Multi-period portfolio optimization with linear control policies (Q1004108) (← links)
- A stochastic programming approach to cash management in banking (Q1011242) (← links)
- Strategic financial risk management and operations research (Q1278574) (← links)
- Intelligent control and optimization under uncertainty with application to hydro power (Q1278637) (← links)
- Discretized reality and spurious profits in stochastic programming models for asset/liability management (Q1278969) (← links)
- Barycentric scenario trees in convex multistage stochastic programming (Q1363430) (← links)
- The optimal portfolio problem with coherent risk measure constraints. (Q1406490) (← links)
- Management of non-maturing deposits by multistage stochastic programming (Q1410316) (← links)
- Financial planning via multi-stage stochastic optimization. (Q1422378) (← links)
- Two-stage fuzzy portfolio selection problem with transaction costs (Q1666305) (← links)
- Postponed two-pricing and ordering opportunity for selling a single season inventoried product (Q1730567) (← links)
- Parameter estimation in stochastic scenario generation systems (Q1806616) (← links)
- Applications of stochastic programming under incomplete information (Q1893965) (← links)
- Postoptimality for multistage stochastic linear programs (Q1896444) (← links)
- Monte Carlo integration, quadratic resampling, and asset pricing (Q1897672) (← links)
- Dynamic stochastic approximation for multi-stage stochastic optimization (Q2020613) (← links)
- Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach (Q2029400) (← links)
- Time-consistency of optimal investment under smooth ambiguity (Q2030310) (← links)
- Scenario tree construction driven by heuristic solutions of the optimization problem (Q2221468) (← links)
- Recent developments in robust portfolios with a worst-case approach (Q2247918) (← links)
- Multi-period portfolio selection with drawdown control (Q2288940) (← links)
- Multi-period mean-semivariance portfolio optimization based on uncertain measure (Q2318547) (← links)
- A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control (Q2351435) (← links)
- Robust multiperiod portfolio management in the presence of transaction costs (Q2384579) (← links)
- A multistage stochastic programming framework for cardinality constrained portfolio optimization (Q2402875) (← links)
- Stochastic dual dynamic integer programming (Q2414913) (← links)
- Portfolio rebalancing model with transaction costs based on fuzzy decision theory (Q2433448) (← links)
- A mixed R{\&}D projects and securities portfolio selection model (Q2455632) (← links)
- Robust scenario optimization based on downside-risk measure for multi-period portfolio selection (Q2460070) (← links)
- Simulation-based parametric optimization for long-term asset allocation using behavioral utilities (Q2486827) (← links)
- A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities (Q2574060) (← links)
- Multistage portfolio optimization with stocks and options (Q2811944) (← links)
- Mean-variance-skewness model for portfolio selection with transaction costs (Q3044157) (← links)
- Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (Q3502191) (← links)
- A NETWORK MODEL FOR FOREIGN EXCHANGE ARBITRAGE, HEDGING AND SPECULATION (Q3523605) (← links)
- Random test problems and parallel methods for quadratic programs and quadratic stochastic programs<sup>∗</sup> (Q4514287) (← links)
- Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization (Q4627148) (← links)
- Optimal asset allocation for outperforming a stochastic benchmark target (Q5039625) (← links)
- Smoothing and Regularization for Mixed-Integer Second-Order Cone Programming with Applications in Portfolio Optimization (Q5172959) (← links)
- Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection (Q5859015) (← links)