Optimization

Continuous Optimization in Finance
pp. 263-265(3)
Author: Weber, Gerhard-Wilhelm

DC programming approach for portfolio optimization under step increasing transaction costs
pp. 267-289(23)
Authors: Le Thi, Hoai An; Moeini, Mahdi; Dinh, Tao Pham

Solving optimal investment problems with structured products under CVaR constraints
pp. 291-304(14)
Authors: Korn, Ralf; Zeytun, Serkan

An exact algorithm for factor model in portfolio selection with roundlot constraints
pp. 305-318(14)
Authors: Sun, X. L.; Niu, S. F.; Li, D.

Duality in static hedging of barrier options
pp. 319-333(15)
Author: Maruhn, J. H.

Measures of model uncertainty and calibrated option bounds
pp. 335-350(16)
Authors: C. Pınar, Mustafa

Robust mid-term power generation management
pp. 351-371(21)
Authors: Guigues, V.; Aid, R.; Ndiaye, P. M.; Oustry, F.; Romanet, F.

Calibration of stochastic models for interest rate derivatives
pp. 373-388(16)
Author: Rainer, Martin