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Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints

PROCEEDINGS ARTICLE published December 2001 in Recent Developments in Mathematical Finance

Authors: Arunabha Bagchi | K. Suresh Kumar

Nonnegative or Not Nonnegative: A Question about CAPMs

JOURNAL ARTICLE published May 1983 in The Journal of Finance

Authors: Harry M. Markowitz

Stochastic Dynamic Programming

BOOK CHAPTER published 28 February 2011 in An Elementary Introduction to Mathematical Finance

Nonnegative or Not Nonnegative: A Question about CAPMs

JOURNAL ARTICLE published May 1983 in The Journal of Finance

Authors: HARRY M. MARKOWITZ

Dynamic programming and mean‐variance hedging in discrete time

JOURNAL ARTICLE published March 2004 in Applied Mathematical Finance

Authors: Aleš Černý

EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN‐VARIANCE CAPITAL MARKET

JOURNAL ARTICLE published July 1995 in Mathematical Finance

Authors: Hiroshi Konno | Hiroshi Shirakawa

Linear programming-based estimators in nonnegative autoregression

JOURNAL ARTICLE published December 2015 in Journal of Banking & Finance

Research funded by Jan Wallander and Tom Hedelius Research Foundation (P 2006-0166:1)

Authors: Daniel Preve

Dynamic Programming: Theory and Algorithms

BOOK CHAPTER published in Optimization Methods in Finance

Dynamic programming methods

BOOK CHAPTER published 21 December 2006 in Optimization Methods in Finance

A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING

JOURNAL ARTICLE published January 2014 in Mathematical Finance

Authors: Sören Christensen

Dynamic Tracking Error with Shortfall Control Using Stochastic Programming

BOOK CHAPTER published 2014 in Mathematical and Statistical Methods for Actuarial Sciences and Finance

Authors: Diana Barro | Elio Canestrelli

Pricing American Stock Options by Linear Programming

JOURNAL ARTICLE published July 1999 in Mathematical Finance

Authors: M. A. H. Dempster | J. P. Hutton

Dynamic Programming Models: the Binomial Pricing Model

BOOK CHAPTER published in Optimization Methods in Finance

Dynamic Programming Models: Multi-Period Portfolio Optimization

BOOK CHAPTER published in Optimization Methods in Finance

A Dynamic Model of the Firm

BOOK CHAPTER published 1983 in Lecture Notes in Economics and Mathematical Systems

Authors: Paul van Loon

DYNAMIC TRADING VOLUME

JOURNAL ARTICLE published April 2017 in Mathematical Finance

Research funded by National Science Foundation (DMS‐1109047) | Science Foundation Ireland (07/MI/008, 07/SK/M1189, 08/SRC/FMC1389) | Seventh Framework Programme (RG‐248896)

Authors: Paolo Guasoni | Marko Weber

Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings

JOURNAL ARTICLE published April 2001 in Mathematical Finance

Authors: Robert B. Israel | Jeffrey S. Rosenthal | Jason Z. Wei

A note on adjusting correlation matrices

JOURNAL ARTICLE published March 2002 in Applied Mathematical Finance

Authors: A. León | J. E. Peris | J. Silva | B. Subiza

Interest rate model calibration using semidefinite Programming

JOURNAL ARTICLE published September 2003 in Applied Mathematical Finance

Authors: A. D'Aspremont

A Survey of Dynamic Theories of the Firm

BOOK CHAPTER published 1983 in Lecture Notes in Economics and Mathematical Systems

Authors: Paul van Loon