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    ANOR
    2007
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    Conditional value at risk and related linear programming models for portfolio optimization
    13 years 5 months ago
    Conditional value at risk and related linear programming models for portfolio optimization
    Download  www.ia.pw.edu.pl
    Renata Mansini, Wlodzimierz Ogryczak, Maria Grazia...
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    ANOR
    2007
    67views more  ANOR 2007»
    A stochastic programming model for asset liability management of a Finnish pension company
    13 years 5 months ago
    A stochastic programming model for asset liability management of a Finnish pension company
    Download  www.mat.puc-rio.br
    This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension insurance company. In many respects the model resembles t...
    Petri Hilli, Matti Koivu, Teemu Pennanen, Antero R...
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    ANOR
    2007
    165views more  ANOR 2007»
    Financial scenario generation for stochastic multi-stage decision processes as facility location problems
    13 years 5 months ago
    Financial scenario generation for stochastic multi-stage decision processes as facility location problems
    Download  homepage.univie.ac.at
    The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...
    Ronald Hochreiter, Georg Ch. Pflug
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    ANOR
    2007
    51views more  ANOR 2007»
    Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
    13 years 5 months ago
    Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
    Download  www.maths.ed.ac.uk
    Jacek Gondzio, Andreas Grothey
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    ANOR
    2007
    56views more  ANOR 2007»
    Scenario optimization asset and liability modelling for individual investors
    13 years 5 months ago
    Scenario optimization asset and liability modelling for individual investors
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    Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
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    ANOR
    2007
    70views more  ANOR 2007»
    Preemptive patenting under uncertainty and asymmetric information
    13 years 5 months ago
    Preemptive patenting under uncertainty and asymmetric information
    Download  www.realoptions.org
    This paper examines the investment behaviour of an incumbent and a potential entrant that are competing for a patent with a stochastic payo . We incorporate asymmetric information...
    Yao-Wen Hsu, Bart M. Lambrecht
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    ANOR
    2007
    45views more  ANOR 2007»
    Return distributions of strategic growth options
    13 years 5 months ago
    Return distributions of strategic growth options
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    Hans Haanappel, Han Smit
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    ANOR
    2007
    81views more  ANOR 2007»
    A conditional-SGT-VaR approach with alternative GARCH models
    13 years 5 months ago
    A conditional-SGT-VaR approach with alternative GARCH models
    Download  mfs.rutgers.edu
    This paper proposes a conditional technique for the estimation of VaR and expected shortfall measures based on the skewed generalized t (SGT) distribution. The estimation of the co...
    Turan G. Bali, Panayiotis Theodossiou
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    ANOR
    2007
    92views more  ANOR 2007»
    Portfolio selection with probabilistic utility
    13 years 5 months ago
    Portfolio selection with probabilistic utility
    Download  www.pik-potsdam.de
    We present a novel portfolio selection technique, which replaces the traditional maximization of the utility function with a probabilistic approach inspired by statistical physics....
    Robert Marschinski, Pietro Rossi, Massimo Tavoni, ...
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    ANOR
    2007
    57views more  ANOR 2007»
    Bounds for in-progress floating-strike Asian options using symmetry
    13 years 5 months ago
    Bounds for in-progress floating-strike Asian options using symmetry
    Download  users.ox.ac.uk
    Vicky Henderson, David Hobson, William Shaw, Rafal...
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