Ausgabe 3/2015
Special issue on Financial Optimization: optimization paradigms and financial planning under uncertainty
Inhalt (11 Artikel)
Editorial
Financial Optimization: optimization paradigms and financial planning under uncertainty
Giorgio Consigli, Paolo Brandimarte, Daniel Kuhn
Regular Article
Structure of risk-averse multistage stochastic programs
Jitka Dupačová, Václav Kozmík
Regular Article
A combined stochastic programming and optimal control approach to personal finance and pensions
Agnieszka Karolina Konicz, David Pisinger, Kourosh Marjani Rasmussen, Mogens Steffensen
Regular Article
Portfolio optimization in a defaultable Lévy-driven market model
Stefano Pagliarani, Tiziano Vargiolu
Regular Article
Jump-diffusion asset–liability management via risk-sensitive control
Mark H. A. Davis, Sébastien Lleo
Regular Article
Robust worst-case optimal investment
Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried
Regular Article
A linear risk-return model for enhanced indexation in portfolio optimization
Renato Bruni, Francesco Cesarone, Andrea Scozzari, Fabio Tardella
Regular Article
Data-driven portfolio management with quantile constraints
Elçin Çetinkaya, Aurélie Thiele
Regular Article
Choquet-based European option pricing with stochastic (and fixed) strikes
Tarik Driouchi, Lenos Trigeorgis, Yongling Gao
Regular Article
Approximating multivariate Markov chains for bootstrapping through contiguous partitions
Roy Cerqueti, Paolo Falbo, Gianfranco Guastaroba, Cristian Pelizzari