Financial optimization: optimization paradigms and financial planning under uncertainty

DOI10.1007/s00291-015-0406-yzbMath1317.00009OpenAlexW2106059453MaRDI QIDQ2516633

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Publication date: 3 August 2015

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-015-0406-y

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Related Items (1)

Volatility versus downside risk: performance protection in dynamic portfolio strategies

Cites Work

• Structure of risk-averse multistage stochastic programs
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Portfolio optimization in a defaultable Lévy-driven market model
• Jump-diffusion asset-liability management via risk-sensitive control
• Robust worst-case optimal investment
• A general test for SSD portfolio efficiency
• A linear risk-return model for enhanced indexation in portfolio optimization
• Data-driven portfolio management with quantile constraints
• Choquet-based European option pricing with stochastic (and fixed) strikes
• Approximating multivariate Markov chains for bootstrapping through contiguous partitions

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