Volume 37; Issue 3

OR Spectrum

Volume 37; Issue 3
2

Choquet-based European option pricing with stochastic (and fixed) strikes

Driouchi, Tarik, Trigeorgis, Lenos, Gao, Yongling
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 498 KB
english, 2015
3

Robust worst-case optimal investment

Desmettre, Sascha, Korn, Ralf, Ruckdeschel, Peter, Seifried, Frank Thomas
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 549 KB
english, 2015
4

Portfolio optimization in a defaultable Lévy-driven market model

Pagliarani, Stefano, Vargiolu, Tiziano
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 413 KB
english, 2015
5

Structure of risk-averse multistage stochastic programs

Dupačová, Jitka, Kozmík, Václav
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 490 KB
english, 2015
7

Jump-diffusion asset–liability management via risk-sensitive control

Davis, Mark H. A., Lleo, Sébastien
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 267 KB
english, 2015
8

Data-driven portfolio management with quantile constraints

Çetinkaya, Elçin, Thiele, Aurélie
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 346 KB
english, 2015
10

A general test for SSD portfolio efficiency

Kopa, Miloš, Post, Thierry
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 956 KB
english, 2015