Volume 37, Issue 3

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July 2015

Special issue on Financial Optimization: optimization paradigms and financial planning under uncertainty

Issue Editors:

Giorgio Consigli,
Paolo Brandimarte,
Daniel Kuhn

11 articles in this issue

Financial Optimization: optimization paradigms and financial planning under uncertainty
Giorgio Consigli
Paolo Brandimarte
Daniel Kuhn
Editorial 19 June 2015 Pages: 553 - 557
Structure of risk-averse multistage stochastic programs
Jitka Dupačová
Václav Kozmík
Regular Article 14 October 2014 Pages: 559 - 582
A combined stochastic programming and optimal control approach to personal finance and pensions
Agnieszka Karolina Konicz
David Pisinger
Mogens Steffensen
Regular Article 27 August 2014 Pages: 583 - 616
Portfolio optimization in a defaultable Lévy-driven market model
Stefano Pagliarani
Tiziano Vargiolu
Regular Article 24 August 2014 Pages: 617 - 654
Jump-diffusion asset–liability management via risk-sensitive control
Mark H. A. Davis
Sébastien Lleo
Regular Article 09 July 2014 Pages: 655 - 675
Robust worst-case optimal investment
Sascha Desmettre
Ralf Korn
Frank Thomas Seifried
Regular Article 03 July 2014 Pages: 677 - 701
A general test for SSD portfolio efficiency
Miloš Kopa
Thierry Post
Regular Article 13 August 2014 Pages: 703 - 734
A linear risk-return model for enhanced indexation in portfolio optimization
Renato Bruni
Francesco Cesarone
Fabio Tardella
Regular Article 25 November 2014 Pages: 735 - 759
Data-driven portfolio management with quantile constraints
Elçin Çetinkaya
Aurélie Thiele
Regular Article 14 March 2015 Pages: 761 - 786
Choquet-based European option pricing with stochastic (and fixed) strikes
Tarik Driouchi
Lenos Trigeorgis
Yongling Gao
Regular Article 10 October 2014 Pages: 787 - 802
Approximating multivariate Markov chains for bootstrapping through contiguous partitions
Roy Cerqueti
Paolo Falbo
Cristian Pelizzari
Regular Article 26 April 2015 Pages: 803 - 841

Volume 37, Issue 3

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