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Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
We develop and test multistage portfolio selection models maximizing expected end-of-horizon wealth while minimizing one-sided deviation from a target wealth level. The trade-off between two objectives is controlled by ...
Joint mixability of some integer matrices
(Elsevier B.V.Elsevier BV, 2016)
We study the problem of permuting each column of a given matrix to achieve minimum maximal row sum or maximum minimal row sum, a problem of interest in probability theory and quantitative finance where quantiles of a random ...