The decision rule approach to optimization under uncertainty: methodology and applications
来源期刊:Computational Management ScienceDOI:10.1007/S10287-018-0338-5
On the construction of hourly price forward curves for electricity prices
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0300-6
Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0304-2
Sparse precision matrices for minimum variance portfolios
来源期刊:Computational Management ScienceDOI:10.1007/S10287-019-00344-6
Big data analytics: an aid to detection of non-technical losses in power utilities
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0325-x
Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
来源期刊:Computational Management ScienceDOI:10.1007/S10287-018-0339-4
European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0324-y
Volatility versus downside risk: performance protection in dynamic portfolio strategies
来源期刊:Computational Management ScienceDOI:10.1007/S10287-018-0310-4
Un-diversifying during crises: Is it a good idea?
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0340-y
Simulation and evaluation of the distribution of interest rate risk
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0319-8
Optimal strategies with option compensation under mean reverting returns or volatilities
来源期刊:Computational Management ScienceDOI:10.1007/s10287-017-0296-3
Observational data-based quality assessment of scenario generation for stochastic programs
来源期刊:Computational Management ScienceDOI:10.1007/S10287-019-00349-1
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0306-0
Timing portfolio strategies with exponential Lévy processes
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0332-y
B&B method for discrete partial order optimization
来源期刊:Computational Management ScienceDOI:10.1007/S10287-019-00346-4
Multistage portfolio optimization with multivariate dominance constraints
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0334-9
Identifying systemically important financial institutions: a network approach
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0327-8
Dynamic portfolio allocation in goals-based wealth management
来源期刊:Computational Management ScienceDOI:10.1007/s10287-019-00351-7
A recommender system for active stock selection
来源期刊:Computational Management ScienceDOI:10.1007/S10287-018-0342-9
The wait-and-judge scenario approach applied to antenna array design
来源期刊:Computational Management ScienceDOI:10.1007/S10287-019-00345-5
Calibration of one-factor and two-factor Hull–White models using swaptions
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0323-z
Tempered stable process, first passage time, and path-dependent option pricing
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0326-9
Arbitrage conditions for electricity markets with production and storage
来源期刊:Computational Management ScienceDOI:10.1007/S10287-019-00347-3
Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0333-x
Blocks of coordinates, stochastic programming, and markets
来源期刊:Computational Management ScienceDOI:10.1007/s10287-018-0303-3
Data-driven optimization in management
来源期刊:Computational Management ScienceDOI:10.1007/s10287-019-00352-6
Optimized operating rules for short-term hydropower planning in a stochastic environment
来源期刊:Computational Management ScienceDOI:10.1007/S10287-019-00348-2
Notoriously hard (mixed-)binary QPs: empirical evidence on new completely positive approaches
来源期刊:Computational Management ScienceDOI:10.1007/S10287-018-0337-6