41 search results - page 4 / 9 » anor 2010 |
ANOR
2010
13 years 10 months ago
2010
Abstract The paper provides a condition for differentiability as well as an equivalent criterion for Lipschitz continuity of singular normal distributions. Such distributions are o...
ANOR
2010
13 years 10 months ago
2010
We consider mixed-integer recourse (MIR) models with a single recourse constraint. We relate the second-stage value function of such problems to the expected simple integer recour...
ANOR
2010
13 years 10 months ago
2010
Abstract In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection. Our sur...
ANOR
2010
13 years 10 months ago
2010
We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recou...
ANOR
2010
13 years 10 months ago
2010
Abstract-- The emerging paradigm of Grid Computing provides a powerful platform for the optimisation of complex computer models, such as those used to simulate real-world logistics...