Volume 18, Issue 2

June 2017

Special Issue on Optimization for Financial Engineering

Issue Editors:

8 articles in this issue

Optimization for financial engineering: a special issue
Roy H. Kwon
Stavros A. Zenios
Editorial 13 May 2017 Pages: 343 - 347
A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
Alan Delgado de Oliveira
Tiago Pascoal Filomena
Guilherme Ribeiro de Macedo
OriginalPaper 31 March 2016 Pages: 349 - 368
Dynamic portfolio choice: a simulation-and-regression approach
Michel Denault
Erick Delage
Jean-Guy Simonato
OriginalPaper 11 March 2017 Pages: 369 - 406
Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
Amita Sharma
Shubhada Agrawal
Aparna Mehra
OriginalPaper 22 July 2016 Pages: 407 - 442
Factor-based robust index tracking
Roy H. Kwon
Dexiang Wu
OriginalPaper 02 April 2016 Pages: 443 - 466
Adjusted robust mean-value-at-risk model: less conservative robust portfolios
S. Lotfi
M. Salahi
F. Mehrdoust
OriginalPaper 01 November 2016 Pages: 467 - 497
Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach
Sergey N. Smirnov
Victor A. Lapshin
Marat Z. Kurbangaleev
OriginalPaper 04 August 2016 Pages: 499 - 536
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
Andrea Consiglio
Stavros A. Zenios
Discussion Article 20 May 2017 Pages: 537 - 558

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