Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns

von Valladão, Davi
Veröffentlicht in Symposium on Quantitative Finance and Risk Analysis (3. : 2017 : Kerkira) Application of operations research to financial markets (2019)

A linear stochastic programming model for optimal leveraged portfolio selection

von Valladão, Davi Michel
Veröffentlicht in Computational economics (2018)

Time consistency and risk averse dynamic decision models : definition, interpretation and practical consequences

von Rudloff, Birgit
Veröffentlicht in European journal of operational research (2014)

A multistage linear stochastic programming model for optimal corporate debt management

von Valladão, Davi M.
Veröffentlicht in European journal of operational research (2014)

Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints

von Duarte, Thiago B.
Veröffentlicht in Insurance / Mathematics & economics (2017)

On the solution variability reduction of stochastic dual dynamic programming applied to energy planning

von Soares, Murilo Pereira
Veröffentlicht in European journal of operational research (162017)

Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?

von Gutierrez, Tomás
Veröffentlicht in Insurance / Mathematics & economics (2019)

On an adaptive Black-Litterman investment strategy using conditional fundamentalist information : a Brazilian case study

von Fernandes, Betina
Veröffentlicht in Finance research letters (2018)

An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets

von Fernandes, Betina
Veröffentlicht in European journal of operational research (2016)

Short-term Covid-19 forecast for latecomers

von Medeiros, Marcelo C.
Veröffentlicht in International journal of forecasting (2022)

Decomposition methods for Wasserstein-based data-driven distributionally robust problems

von Cano Gamboa, Carlos Andrés
Veröffentlicht in Operations research letters (2021)