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Stochastic programming can effectively describe many decision-making problems in uncertain environments. Unfortunately, such… Expand In this paper, we provide a general nonlinear programming framework for
identifying portfolios that have superior out-of-sample… Expand Alliance research has traditionally focused on structural and relational aspects of the networks in which firms are situated… Expand In my thesis I explore the problem of optimizing trading strategies for complex portfolio transitions. Institutional investors… Expand We examine how mutual funds from 26 developed and developing countries allocate their investment between domestic and foreign… Expand I present a new approach to the dynamic portfolio and consumption problem of an investor who worries about model uncertainty (in… Expand While the course of technological change is widely accepted to be highly uncertain and unpredictable, little work has identified… Expand Value at Risk (VaR) has become the standard measure of market risk employed by financial institutions for both internal and… Expand The research presented here focuses on four issues. First, it constructs more measures or criteria of stock market development… Expand We study the effect of restrictions on dual trading in futures contracts. Previous studies have found that dual trading… Expand