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Volume 37; Issue 3
Main
OR Spectrum
Volume 37; Issue 3
OR Spectrum
Volume 37; Issue 3
1
A linear risk-return model for enhanced indexation in portfolio optimization
Bruni, Renato
,
Cesarone, Francesco
,
Scozzari, Andrea
,
Tardella, Fabio
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 1.33 MB
Your tags:
english, 2015
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
Your tags:
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
Your tags:
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
Your tags:
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
Your tags:
english, 2015
6
A combined stochastic programming and optimal control approach to personal finance and pensions
Konicz, Agnieszka Karolina
,
Pisinger, David
,
Rasmussen, Kourosh Marjani
,
Steffensen, Mogens
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 570 KB
Your tags:
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
Your tags:
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
Your tags:
english, 2015
9
Approximating multivariate Markov chains for bootstrapping through contiguous partitions
Cerqueti, Roy
,
Falbo, Paolo
,
Guastaroba, Gianfranco
,
Pelizzari, Cristian
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 914 KB
Your tags:
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
Your tags:
english, 2015
11
Financial Optimization: optimization paradigms and financial planning under uncertainty
Consigli, Giorgio
,
Brandimarte, Paolo
,
Kuhn, Daniel
Journal:
OR Spectrum
Year:
2015
Language:
english
File:
PDF, 348 KB
Your tags:
english, 2015
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