Volume 89; Issue 2

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Mathematical Programming
Volume 89; Issue 2

Mathematical Programming

Volume 89; Issue 2

1

Introduction to financial optimization: Mathematical Programming Special Issue

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 81 KB

english, 2001

2

On consistency of stochastic dominance and mean–semideviation models

Włodzimierz Ogryczak, Andrzej Ruszczyński

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 120 KB

english, 2001

3

Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints

Hiroshi Konno, Annista Wijayanayake

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 253 KB

english, 2001

4

Scenario tree generation for multiperiod financial optimization by optimal discretization

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 120 KB

english, 2001

5

Credit risk optimization with Conditional Value-at-Risk criterion

Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 99 KB

english, 2001

6

A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation

Yonggan Zhao, William T. Ziemba

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 117 KB

english, 2001

7

Integrated simulation and optimization models for tracking international fixed income indices

Andrea Consiglio, Stavros A. Zenios

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 276 KB

english, 2001