COMISEF WORKING PAPERS SERIES
暂无分享,去创建一个
[1] Gerhard W. Dueck,et al. Threshold accepting: a general purpose optimization algorithm appearing superior to simulated anneal , 1990 .
[2] Ľuboš Pástor,et al. Investing in Equity Mutual Funds , 2001 .
[3] Daniel Kuhn,et al. Primal and dual linear decision rules in stochastic and robust optimization , 2011, Math. Program..
[4] David B. Fogel,et al. Evolutionary Computation: Towards a New Philosophy of Machine Intelligence , 1995 .
[5] J. Wooldridge,et al. A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.
[6] Russell C. Eberhart,et al. A new optimizer using particle swarm theory , 1995, MHS'95. Proceedings of the Sixth International Symposium on Micro Machine and Human Science.
[7] Peter W. Glynn,et al. Optimization of stochastic systems , 1986, WSC '86.
[8] Kyung-shik Shin,et al. A genetic algorithm application in bankruptcy prediction modeling , 2002, Expert Syst. Appl..
[9] Erik Demeulemeester,et al. Project scheduling : a research handbook , 2002 .
[10] Kees van Montfort,et al. Index Tracking by Means of Optimized Sampling , 2008 .
[11] Donald Goldfarb,et al. Second-order cone programming , 2003, Math. Program..
[12] P. Brucker. On the Complexity of Clustering Problems , 1978 .
[13] John A. Nelder,et al. A Simplex Method for Function Minimization , 1965, Comput. J..
[14] B. Hansen. Autoregressive Conditional Density Estimation , 1994 .
[15] Zhi-Quan Luo,et al. Robust gate sizing by geometric programming , 2005, Proceedings. 42nd Design Automation Conference, 2005..
[16] John C. Bogle. Common Sense on Mutual Funds: New Imperatives for the Intelligent Investor , 1999 .
[17] Svetlozar T. Rachev,et al. Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing , 2005 .
[18] M. Steel,et al. Model uncertainty in cross-country growth regressions , 2001 .
[19] David Streliski,et al. Yield Curve Modelling at the Bank of Canada , 1999 .
[20] M. Dietsch,et al. Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs , 2004 .
[21] Kathrin Klamroth,et al. Biconvex sets and optimization with biconvex functions: a survey and extensions , 2007, Math. Methods Oper. Res..
[22] Margaret H. Wright,et al. Direct search methods: Once scorned, now respectable , 1996 .
[23] Carol Alexander,et al. Indexing and Statistical Arbitrage , 2005 .
[24] Tsong-Yue Lai. Portfolio selection with skewness: A multiple-objective approach , 1991 .
[25] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[26] Peng Sun,et al. A Robust Optimization Perspective on Stochastic Programming , 2007, Oper. Res..
[27] William Margrabe. The Value of an Option to Exchange One Asset for Another , 1978 .
[28] Fischer Black,et al. Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios , 1989 .
[29] Ignacio E. Grossmann,et al. A Class of stochastic programs with decision dependent uncertainty , 2006, Math. Program..
[30] Kim-Chuan Toh,et al. Solving semidefinite-quadratic-linear programs using SDPT3 , 2003, Math. Program..
[31] David A. Kendrick,et al. Stochastic control for economic models , 1981 .
[32] R. Roll,et al. A Mean/Variance Analysis of Tracking Error , 1992 .
[33] Reha H. Tütüncü,et al. Robust Asset Allocation , 2004, Ann. Oper. Res..
[34] Panos M. Pardalos,et al. Introduction to Global Optimization , 2000, Introduction to Global Optimization.
[35] G. Chow,et al. Econometric analysis by control methods , 1983 .
[36] Phelim P. Boyle,et al. The 1/n Pension Investment Puzzle , 2004 .
[37] Johan Löfberg,et al. YALMIP : a toolbox for modeling and optimization in MATLAB , 2004 .
[38] Paul Embrechts,et al. Quantitative Risk Management , 2011, International Encyclopedia of Statistical Science.
[39] M. Gilli,et al. Calibrating the Nelson-Siegel-Svensson Model , 2010 .
[40] Arthur M. Geoffrion,et al. Elements of large-scale mathematical programming , 1969 .
[41] Roger L. Wainwright,et al. Applying Genetic Algorithms to Outlier Detection , 1995, ICGA.
[42] T. Broadbent. Mathematics for the Physical Sciences , 1959, Nature.
[43] Matthias Fischer,et al. An empirical analysis of multivariate copula models , 2009 .
[44] John H. Holland,et al. Adaptation in Natural and Artificial Systems: An Introductory Analysis with Applications to Biology, Control, and Artificial Intelligence , 1992 .
[45] G. Stengle. A nullstellensatz and a positivstellensatz in semialgebraic geometry , 1974 .
[46] Aharon Ben-Tal,et al. Lectures on modern convex optimization , 1987 .
[47] S. Chatterjee,et al. Genetic algorithms and their statistical applications: an introduction , 1996 .
[48] Giuseppe Carlo Calafiore,et al. Parameter estimation with expected and residual-at-risk criteria , 2009, Syst. Control. Lett..
[49] R. Flôres,et al. Finding a maximum skewness portfolio--a general solution to three-moments portfolio choice , 2004 .
[50] Arun J. Prakash,et al. Portfolio selection and skewness: Evidence from international stock markets , 1997 .
[51] E. Luciano,et al. Copula methods in finance , 2004 .
[52] Christodoulos A. Floudas,et al. Continuous-time versus discrete-time approaches for scheduling of chemical processes: a review , 2004, Comput. Chem. Eng..
[53] L. Glosten,et al. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .
[54] Seong-Cheol Kang,et al. A Robust Approach to Markov Decision Problems with Uncertain Transition Probabilities , 2008 .
[55] Gary Koop,et al. Are Apparent Findings of Nonlinearity Due to Structural Instability in Economic Time Series , 2001 .
[56] M. Rockinger,et al. Optimal Portfolio Allocation Under Higher Moments , 2004 .
[57] Willy Herroelen,et al. Project scheduling under uncertainty: Survey and research potentials , 2005, Eur. J. Oper. Res..
[58] P. G. Zhang. Exotic Options: A Guide To Second Generation Options , 1996 .
[59] Dimitri P. Bertsekas,et al. Dynamic Programming and Optimal Control, Two Volume Set , 1995 .
[60] Juan M. Nave,et al. A genetic algorithm estimation of the term structure of interest rates , 2009, Comput. Stat. Data Anal..
[61] Lawrence G. McMillan,et al. Options as a Strategic Investment , 1986 .
[62] Hiroshi Konno,et al. Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm , 2002, Manag. Sci..
[63] T. Bollerslev,et al. A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .
[64] Jane N. Hagstrom,et al. Computational complexity of PERT problems , 1988, Networks.
[65] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[66] Javier Peña,et al. LMI Approximations for Cones of Positive Semidefinite Forms , 2006, SIAM J. Optim..
[67] Alexander Shapiro,et al. Convex Approximations of Chance Constrained Programs , 2006, SIAM J. Optim..
[68] Laurent El Ghaoui,et al. Robust Control of Markov Decision Processes with Uncertain Transition Matrices , 2005, Oper. Res..
[69] A. M. Geoffrion. Generalized Benders decomposition , 1972 .
[70] Arkadi Nemirovski,et al. Robust solutions of uncertain linear programs , 1999, Oper. Res. Lett..
[71] C. Reeves. Modern heuristic techniques for combinatorial problems , 1993 .
[72] G. R. Hext,et al. Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation , 1962 .
[73] Sandra Paterlini,et al. The optimal structure of PD buckets , 2008 .
[74] Hans M. Amman,et al. Numerical methods for linear-quadratic models , 1996 .
[75] Lars E. O. Svensson. Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994 , 1994, SSRN Electronic Journal.
[76] C. Genest,et al. A semiparametric estimation procedure of dependence parameters in multivariate families of distributions , 1995 .
[77] Andrew J. Patton. Modelling Asymmetric Exchange Rate Dependence , 2006 .
[78] A. Frigessi,et al. Pair-copula constructions of multiple dependence , 2009 .
[79] Dvir Shabtay,et al. A survey of scheduling with controllable processing times , 2007, Discret. Appl. Math..
[80] Rolf H. Möhring,et al. Resource-constrained project scheduling: Notation, classification, models, and methods , 1999, Eur. J. Oper. Res..
[81] B. Rustem,et al. Robust min}max portfolio strategies for rival forecast and risk scenarios , 2000 .
[82] Berlin Wu,et al. Using genetic algorithms to parameters (d,r) estimation for threshold autoregressive models , 2002 .
[83] B. Halldórsson,et al. An Interior-Point Method for a Class of Saddle-Point Problems , 2003 .
[84] Klaus Neumann,et al. Scheduling of Projects with Stochastic Evolution Structure , 1999 .
[85] Peter Winker. Optimization Heuristics in Econometrics : Applications of Threshold Accepting , 2000 .
[86] T. Teräsvirta,et al. Time-Varying Smooth Transition Autoregressive Models , 2003 .
[87] Bruce G. Resnick,et al. Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection , 1988 .
[88] Peter Winker,et al. A Review of Heuristic Optimization Methods in Econometrics , 2008 .
[89] Hans M. Amman,et al. Stochastic Policy Design in a Learning Environment with Rational Expectations , 2000 .
[90] Toshihide Ibaraki. APPROXIMATE ALGORITHMS FOR THE MULTIPLE-CHOICE CONTINUOUS KNAPSACK PROBLEMS , 1980 .
[91] Gene H. Golub,et al. Calculation of Gauss quadrature rules , 1967, Milestones in Matrix Computation.
[92] Alex Alves Freitas,et al. A Survey of Evolutionary Algorithms for Clustering , 2009, IEEE Transactions on Systems, Man, and Cybernetics, Part C (Applications and Reviews).
[93] Lloyd N. Trefethen,et al. New Quadrature Formulas from Conformal Maps , 2008, SIAM J. Numer. Anal..
[94] Arthur E. Bryson,et al. Applied Optimal Control , 1969 .
[95] Peter Winker,et al. Optimization heuristics for determining internal rating grading scales , 2010, Comput. Stat. Data Anal..
[96] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[97] Manfred Gilli,et al. Calibrating the Heston Model with Differential Evolution , 2010, EvoApplications.
[98] Ian H. Giddy,et al. Foreign exchange options , 1983 .
[99] R. Bhansali,et al. Some properties of the order of an autoregressive model selected by a generalization of Akaike∘s EPF criterion , 1977 .
[100] R. Fildes. Journal of the Royal Statistical Society (B): Gary K. Grunwald, Adrian E. Raftery and Peter Guttorp, 1993, “Time series of continuous proportions”, 55, 103–116.☆ , 1993 .
[101] Christos Floros. The use of GARCH models for the calculation of minimum capital risk requirements: International evidence , 2007 .
[102] Robert A. Stubbs,et al. Incorporating estimation errors into portfolio selection: Robust portfolio construction , 2006 .
[103] Benn Steil,et al. Currency Options and the Optimal Hedging of Contingent Foreign Exchange Exposure , 1993 .
[104] R. Cont. Empirical properties of asset returns: stylized facts and statistical issues , 2001 .
[105] K. Fang,et al. Application of Threshold-Accepting to the Evaluation of the Discrepancy of a Set of Points , 1997 .
[106] Shie Mannor,et al. The Robustness-Performance Tradeoff in Markov Decision Processes , 2006, NIPS.
[107] Reinhard Neck,et al. Optimal budgetary and monetary policies under uncertainty: A stochastic control approach , 1995, Ann. Oper. Res..
[108] Anne H. H. Ngu,et al. QoS-aware middleware for Web services composition , 2004, IEEE Transactions on Software Engineering.
[109] John H. Holland,et al. Adaptation in Natural and Artificial Systems: An Introductory Analysis with Applications to Biology, Control, and Artificial Intelligence , 1992 .
[110] Robert B. Litterman,et al. Common Factors Affecting Bond Returns , 1991 .
[111] Jean B. Lasserre,et al. Global Optimization with Polynomials and the Problem of Moments , 2000, SIAM J. Optim..
[112] P. E. Castro. Compact Numerical Methods for Computers: Linear Algebra and Function Minimization , 1978 .
[113] David S. Bates. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Thephlx Deutschemark Options , 1993 .
[114] Kim-Chuan Toh,et al. SDPT3 -- A Matlab Software Package for Semidefinite Programming , 1996 .
[115] R. C. Merton,et al. Option pricing when underlying stock returns are discontinuous , 1976 .
[116] Mike P. Papazoglou,et al. Service-oriented computing: concepts, characteristics and directions , 2003, Proceedings of the Fourth International Conference on Web Information Systems Engineering, 2003. WISE 2003..
[117] Dietmar Maringer,et al. Improving Sharpe Ratios and Stability of Portfolios by Using a Clustering Technique , 2009 .
[118] Paul A. Coomes. PLEM: A computer program for passive learning, stochastic control experiments , 1987 .
[119] Dietmar Maringer,et al. Index tracking with constrained portfolios , 2007, Intell. Syst. Account. Finance Manag..
[120] Fatih Yilmaz,et al. Estimation of the Conditional Variance - Covariance Matrix of Returns Using the Intraday Range , 2007 .
[121] Daniel Kuhn,et al. Multi-resource allocation in stochastic project scheduling , 2012, Ann. Oper. Res..
[122] Marie-Françoise Roy,et al. Real algebraic geometry , 1992 .
[123] Hans M. Amman,et al. A Classification System for Economic Stochastic Control Models , 2006 .
[124] Laurent El Ghaoui,et al. Robust Solutions to Least-Squares Problems with Uncertain Data , 1997, SIAM J. Matrix Anal. Appl..
[125] Reinhard Neck,et al. Opticon: An algorithm for the optimal control of nonlinear stochastic models , 1992, Ann. Oper. Res..
[126] Arkadi Nemirovski,et al. Robust Convex Optimization , 1998, Math. Oper. Res..
[127] C. Bluhm,et al. An Introduction to Credit Risk Modeling , 2002 .
[128] Melvyn Sim,et al. Tractable Approximations to Robust Conic Optimization Problems , 2006, Math. Program..
[129] T. Bedford,et al. Vines: A new graphical model for dependent random variables , 2002 .
[130] Andrew J. Patton. (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation , 2002 .
[131] Tamás Terlaky,et al. A Survey of the S-Lemma , 2007, SIAM Rev..
[132] Patrick L. Brockett,et al. Risk, Return, Skewness and Preference , 1992 .
[133] Garud Iyengar,et al. Robust Dynamic Programming , 2005, Math. Oper. Res..
[134] Patrick Billingsley,et al. Probability and Measure. , 1986 .
[135] John E. Beasley,et al. An evolutionary heuristic for the index tracking problem , 2003, Eur. J. Oper. Res..
[136] H. Tong. Non-linear time series. A dynamical system approach , 1990 .
[137] Tyler Shumway,et al. Expected Option Returns , 2000 .
[138] Melvyn Sim,et al. The Price of Robustness , 2004, Oper. Res..
[139] Andrew Ang,et al. International Asset Allocation With Regime Shifts , 2002 .
[140] Robert Givan,et al. Bounded-parameter Markov decision processes , 2000, Artif. Intell..
[141] Sandra Paterlini,et al. Using differential evolution to improve the accuracy of bank rating systems , 2007, Comput. Stat. Data Anal..
[142] B. Rost. Basel Committee On Banking Supervision , 2010 .
[143] H. Vinod,et al. Verifying the Solution from a Nonlinear Solver: A Case Study , 2004 .
[144] Javier Peña,et al. A Conic Programming Approach to Generalized Tchebycheff Inequalities , 2005, Math. Oper. Res..
[145] Richard S. Varga,et al. Proof of Theorem 5 , 1983 .
[146] Jianqing Fan,et al. Sure independence screening for ultrahigh dimensional feature space , 2006, math/0612857.
[147] John N. Tsitsiklis,et al. Bias and Variance Approximation in Value Function Estimates , 2007, Manag. Sci..
[148] J. Lasserre. Bounds on measures satisfying moment conditions , 2002 .
[149] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[150] El-Ghazali Talbi,et al. A Taxonomy of Hybrid Metaheuristics , 2002, J. Heuristics.
[151] David Eppstein,et al. Finding the k Shortest Paths , 1999, SIAM J. Comput..
[152] M. D. Pooter. Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance , 2007 .
[153] Dietmar Maringer,et al. Portfolio management with heuristic optimization , 2005 .
[154] Dietmar Maringer,et al. Global optimization of higher order moments in portfolio selection , 2009, J. Glob. Optim..
[155] J.T. Alander,et al. On optimal population size of genetic algorithms , 1992, CompEuro 1992 Proceedings Computer Systems and Software Engineering.
[156] G. Chow. Analysis and control of dynamic economic systems , 1975 .
[157] Stanley G. Eakins,et al. An examination of alternative portfolio rebalancing strategies applied to sector funds , 2007 .
[158] R. Krovi,et al. Genetic algorithms for clustering: a preliminary investigation , 1992, Proceedings of the Twenty-Fifth Hawaii International Conference on System Sciences.
[159] Jin Zhang,et al. EML-Estimation of Multivariate t Copulas with Heuristic Optimization , 2010 .
[160] Franco Varetto. Genetic algorithms applications in the analysis of insolvency risk , 1998 .
[161] J. Hull. Options, Futures, and Other Derivatives , 1989 .
[162] P. Carr,et al. Option valuation using the fast Fourier transform , 1999 .
[163] George E. Monahan,et al. A Survey of Partially Observable Markov Decision Processes: Theory, Models, and Algorithms , 2007 .
[164] Chelsea C. White,et al. Markov Decision Processes with Imprecise Transition Probabilities , 1994, Oper. Res..
[165] A. Meucci. Risk and asset allocation , 2005 .
[166] Manfred Gilli,et al. A Data-Driven Optimization Heuristic for Downside Risk Minimization , 2006 .
[167] A. Ben-Tal,et al. Adjustable robust solutions of uncertain linear programs , 2004, Math. Program..
[168] H. Luthi. Algorithms for Worst-Case Design and Applications to Risk Management:Algorithms for Worst-Case Design and Applications to Risk Management , 2002 .
[169] John R. Wingender,et al. Skewness Persistence in Common Stock Returns , 1986, Journal of Financial and Quantitative Analysis.
[170] R. C. Merton,et al. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates , 1974, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.
[171] Berç Rustem,et al. Computing optimal multi-currency mean-variance portfolios , 1995 .
[172] Andrew Ang,et al. Asymmetric Correlations of Equity Portfolios , 2001 .
[173] David S. Johnson,et al. Computers and Intractability: A Guide to the Theory of NP-Completeness , 1978 .
[174] Georgios Dounias,et al. Active Portfolio Management under a Downside Risk Framework: Comparison of a Hybrid Nature - Inspired Scheme , 2009, HAIS.
[175] Robert Tibshirani,et al. The Elements of Statistical Learning: Data Mining, Inference, and Prediction, 2nd Edition , 2001, Springer Series in Statistics.
[176] Philip Rabinowitz,et al. Methods of Numerical Integration , 1985 .
[177] J. Douglas Faires,et al. Numerical Analysis , 1981 .
[178] B. Mandelbrot. The Variation of Certain Speculative Prices , 1963 .
[179] Christodoulos A. Floudas,et al. A new robust optimization approach for scheduling under uncertainty: : I. Bounded uncertainty , 2004, Comput. Chem. Eng..
[180] Rainer Storn,et al. Differential Evolution – A Simple and Efficient Heuristic for global Optimization over Continuous Spaces , 1997, J. Glob. Optim..
[181] Ioana Popescu,et al. Optimal Inequalities in Probability Theory: A Convex Optimization Approach , 2005, SIAM J. Optim..
[182] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[183] Charles G. Renfro,et al. Some numerical aspects of nonlinear estimation , 2000 .
[184] B. Rémillard,et al. Goodness-of-fit tests for copulas: A review and a power study , 2006 .
[185] Brent A. Johnson. On lasso for censored data , 2009 .
[186] Phhilippe Jorion. Value at Risk: The New Benchmark for Managing Financial Risk , 2000 .
[187] P. Perron,et al. Estimating and testing linear models with multiple structural changes , 1995 .
[188] Pablo A. Parrilo,et al. Semidefinite programming relaxations for semialgebraic problems , 2003, Math. Program..
[189] H. Joe. Multivariate models and dependence concepts , 1998 .
[190] Marti G. Subrahmanyam,et al. Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance , 1994 .
[191] William H. Jean. The Extension of Portfolio Analysis to Three or More Parameters , 1971, Journal of Financial and Quantitative Analysis.
[192] D. Madan,et al. Spanning and Derivative-Security Valuation , 2000 .
[193] Y.-K. Kwok,et al. Static scheduling algorithms for allocating directed task graphs to multiprocessors , 1999, CSUR.
[194] F. Diebold,et al. Forecasting the Term Structure of Government Bond Yields , 2002 .
[195] Polychronis Manousopoulos,et al. Comparison of non-linear optimization algorithms for yield curve estimation , 2009, Eur. J. Oper. Res..
[196] R. Tibshirani,et al. Least angle regression , 2004, math/0406456.
[197] Philip A. Horvath,et al. On The Direction of Preference for Moments of Higher Order Than The Variance , 1980 .
[198] Kurt Helmes,et al. Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming , 2001, Oper. Res..
[199] A. Siegel,et al. Parsimonious modeling of yield curves , 1987 .
[200] Patrick Billingsley,et al. Statistical inference for Markov processes , 1961 .
[201] Melvyn Sim,et al. Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization , 2008, Manag. Sci..
[202] Peter Winker,et al. New concepts and algorithms for portfolio choice , 1992 .
[203] Dean Fantazzini,et al. Three-Stage Semi-Parametric Estimation of T-Copulas: Asymptotics, Finite-Sample Properties and Computational Aspects , 2009, Comput. Stat. Data Anal..
[204] Peng Sun,et al. A Linear Decision-Based Approximation Approach to Stochastic Programming , 2008, Oper. Res..
[205] Francesco Pattarina,et al. Clustering #nancial time series: an application to mutual funds style analysis , 2004 .
[206] Peter Hördahl,et al. Testing the Conditional CAPM Using Multivariate GARCH-M , 1998 .
[207] Warren B. Powell,et al. “Approximate dynamic programming: Solving the curses of dimensionality” by Warren B. Powell , 2007, Wiley Series in Probability and Statistics.
[208] Stanley J. Kon. Models of Stock Returns—A Comparison , 1984 .
[209] Reinhard Neck,et al. Stochastic control theory and operational research , 1984 .
[210] R. Sundaram,et al. Of Smiles and Smirks: A Term Structure Perspective , 1998, Journal of Financial and Quantitative Analysis.
[211] Martin L. Puterman,et al. Markov Decision Processes: Discrete Stochastic Dynamic Programming , 1994 .
[212] Jim Q. Smith,et al. Diagnostic checks of non‐standard time series models , 1985 .
[213] E. Fama. The Behavior of Stock-Market Prices , 1965 .
[214] D. Kurowicka,et al. Distribution - Free Continuous Bayesian Belief Nets , 2004 .
[215] Shie Mannor,et al. Percentile Optimization for Markov Decision Processes with Parameter Uncertainty , 2010, Oper. Res..
[216] M. Rockinger,et al. The Copula-GARCH model of conditional dependencies: An international stock market application , 2006 .
[217] W. Schoutens. Lévy Processes in Finance: Pricing Financial Derivatives , 2003 .
[218] T. Coleman,et al. Calibration and hedging under jump diffusion , 2007 .
[219] M. Taqqu,et al. AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS , 2004 .
[220] Stephen P. Boyd,et al. Applications of second-order cone programming , 1998 .
[221] M. Gilli,et al. Heuristic Optimization Methods in Econometrics , 2009 .
[222] Stephen P. Boyd,et al. Semidefinite Programming , 1996, SIAM Rev..
[223] Manfred Gilli,et al. Robust Regression with Optimisation Heuristics , 2009 .
[224] Melvyn Sim,et al. Distributionally Robust Optimization and Its Tractable Approximations , 2010, Oper. Res..
[225] J. K. Satia,et al. Markovian Decision Processes with Uncertain Transition Probabilities , 1973, Oper. Res..
[226] Fiodar Kilin,et al. Accelerating the Calibration of Stochastic Volatility Models , 2011, The Journal of Derivatives.
[227] Hercules Vladimirou,et al. Controlling Currency Risk with Options or Forwards , 2008 .
[228] L. Pulley. A General Mean-Variance Approximation to Expected Utility for Short Holding Periods , 1981, Journal of Financial and Quantitative Analysis.
[229] Philippe Jorion,et al. Currency Hedging for International Portfolios , 1993 .
[230] P. Embrechts,et al. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls , 2002 .
[231] Peter Kall,et al. Stochastic Programming , 1995 .
[232] K. Isii. The extrema of probability determined by generalized moments (I) bounded random variables , 1960 .
[233] E. L. Harder,et al. The Institute of Electrical and Electronics Engineers, Inc. , 2019, 2019 IEEE International Conference on Software Architecture Companion (ICSA-C).
[234] W. Härdle,et al. Calibration Risk for Exotic Options , 2006 .
[235] M. Rosenblatt. Remarks on a Multivariate Transformation , 1952 .
[236] R. Storn,et al. Differential Evolution: A Practical Approach to Global Optimization (Natural Computing Series) , 2005 .
[237] M. Laurent. Sums of Squares, Moment Matrices and Optimization Over Polynomials , 2009 .
[238] Rekha R. Thomas,et al. Algebraic and geometric methods in discrete optimization , 2003, Math. Program..
[239] J. Zakoian,et al. Threshold Arch Models and Asymmetries in Volatility , 1993 .
[240] Nigel Meade,et al. Developing and Maintaining an Equity Index Fund , 1990 .
[241] R. Nelsen. An Introduction to Copulas , 1998 .
[242] G. Chamberlain. A characterization of the distributions that imply mean—Variance utility functions☆ , 1983 .
[243] Stephen P. Boyd,et al. Convex Optimization , 2004, Algorithms and Theory of Computation Handbook.
[244] Donald Goldfarb,et al. Robust Portfolio Selection Problems , 2003, Math. Oper. Res..
[245] Wim Schoutens,et al. The little Heston trap , 2006 .
[246] Cathy W. S. Chen,et al. Optimal Dynamic Hedging via Copula-Threshold-GARCH Models , 2009, Math. Comput. Simul..
[247] Francesco Battaglia,et al. Fitting piecewise linear threshold autoregressive models by means of genetic algorithms , 2004, Comput. Stat. Data Anal..
[248] R. Berry,et al. Calculating implied volatility using the bisection algorithm: a note , 2009 .