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    ANOR
    2007
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    Conditional value at risk and related linear programming models for portfolio optimization
    13 years 11 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 11 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 11 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 11 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 11 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 11 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 11 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 11 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 11 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 11 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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