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Financial planning via multi-stage stochastic optimization
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Financial planning via multi-stage stochastic optimization (2003)Financial planning via multi-stage stocha…Stochastic Programming (2010)Stochastic ProgrammingWorldwide asset and liability modeling (1998)Worldwide asset and liability…Strategic asset allocation (1997)Strategic asset allocationInvestment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyDecisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Decisions with Multiple Objec…Decisions with Multiple Objectives (1993)Decisions with Multiple Objec…Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)Stochastic Decomposition: An …Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Scenarios and Policy Aggregat…Dynamic Strategies for Asset Allocation (1988)Dynamic Strategies for Asset …Mean-Variance Versus Direct Utility Maximization (1984)Mean-Variance Versus Direct U…Large-Scale Portfolio Optimization (1984)Large-Scale Portfolio Optimiz…An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982)An Equilibrium Model of Bond …Decisions with Multiple Objectives: Preferences and Value Trade-Offs (1979)Decisions with Multiple Objec…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…End-to-end risk budgeting portfolio optimization with neural networks (2023)End-to-end risk budgeting por…Two-stage stochastic minimum cost consensus models with asymmetric adjustment costs (2021)Two-stage stochastic minimum …Data-driven two-stage distributionally robust optimization with risk aversion (2019)Data-driven two-stage distrib…Multi-period portfolio selection with drawdown control (2018)Multi-period portfolio select…LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications (2005)LP Modeling for Asset-Liabili…Global Asset Liability Management (2003)Global Asset Liability Manage…Strategic financial risk management and operations research (1997)Strategic financial risk mana…Optimum consumption and portfolio rules in a continuous-time model (1971)Essays in the Theory of Risk-Bearing. (1972)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Lectures on Stochastic Programming: Modeling and Theory (2009)Remarks on the Analytic Hierarchy Process (1990)Robust Optimization of Large-Scale Systems (1995)The Analytic Hierarchy Process—An Exposition (2001)Dual decomposition in stochastic integer programming (1999)Scenarios for Multistage Stochastic Programs (2000)Optimization under uncertainty: state-of-the-art and opportunities (2003)Conjoint Analysis in Consumer Research: Issues and Outlook (1978)Risk management in a dynamic society: a modelling problem (1997)Best-worst multi-criteria decision-making method (2014)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Multiattribute and Single-Attribute Utility Functions for the Health Utilities Index Mark 3 System (2002)The Adaptive Markets Hypothesis (2004)Multiple criteria decision-making techniques and their applications – a review of the literature from 2000 to 2014 (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Capital markets research in accounting (2001)
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References

  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1994Decisions with Multiple Objectives: Preferences and Value Tradeoffs.8,369 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1993Decisions with Multiple Objectives4,434 cited
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  • 1979Decisions with Multiple Objectives: Preferences and Value Trade-Offs1,784 cited
  • 1991Scenarios and Policy Aggregation in Optimization Under Uncertainty1,341 cited
  • 1997Strategic asset allocation730 cited
  • 1984Mean-Variance Versus Direct Utility Maximization527 cited
  • 1988Dynamic Strategies for Asset Allocation498 cited
  • 1991Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse452 cited
  • 1984Large-Scale Portfolio Optimization416 cited
  • 1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency373 cited
  • 1998Worldwide asset and liability modeling

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370 cited

Cited by

  • 1997Strategic financial risk management and operations research103 cited
  • 2003Global Asset Liability Management94 cited
  • 2021Two-stage stochastic minimum cost consensus models with asymmetric adjustment costs70 cited
  • 2018Multi-period portfolio selection with drawdown control59 cited
  • 2005LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications56 cited
  • 2019Data-driven two-stage distributionally robust optimization with risk aversion46 cited
  • 2023End-to-end risk budgeting portfolio optimization with neural networks40 cited