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11 research outputs found
Spatial Aggregation in Scenario Tree Reduction
Author
A Shapiro
D Barro
+15 more
D Barro
Diana Barro
Elio Canestrelli
G Pflug
H Heitsch
H Heitsch
J Dupa?ov�
J Dupa?ov�
J Dupa?ov�
K H�yland
N Gr�we-Kuska
P Klaassen
Pierangelo Ciurlia
R Schultz
S Rachev
Publication venue
'Elsevier BV'
Publication date
01/01/2006
Field of study
No full text
Crossref
Stochastic programs with recourse: An upper bound and the related moment problem
Author
AF Karr
D Stoyan
+14 more
DB Hausch
FA Valentine
H Gassman
J ?�?kov�
J Dupa?ov�
JR Birge
MG Krein
P Billingsley
P Kall
P Kall
R Wets
R Wets
S Karlin
W Feller
Publication venue
'Springer Science and Business Media LLC'
Publication date
Field of study
No full text
Crossref
Generating Multi-Asset Arbitrage-Free Scenario Trees with Global Optimization
Author
A Consiglio
A Consiglio
+39 more
A Consiglio
A Geyer
A King
A Lundell
Alois Geyer
Alois Geyer
Andrea Consiglio
Angelo Carollo
C Floudas
C Maranas
C Maranas
D R Carin�
D Xu
F Jamshidian
G Consigli
H Lu
J Dupa?ov�
J Dupa?ov�
J H Cochrane
J M Mulvey
J Tsai
J Vandekerckhove
K H�yland
K H�yland
M Kaut
N Topaloglou
P Date
P Glasserman
P Klaassen
R Dembo
R Dembo
R Hochreiter
R Rebonato
S A Zenios
S A Zenios
S R Pliska
Stavros A. Zenios
U Cherubini
Z Chen
Publication venue
'Elsevier BV'
Publication date
01/01/2013
Field of study
No full text
Crossref
Portfolio Management for a Random Field of Bond Returns
Author
A Beltratti
B E Baaquie
+16 more
B Golub
D P Kennedy
D P Kennedy
G A Baker
G Consigli
J Dupa?ov�
J M Mulvey
P D Lax
P Santa-Clara
R Fisher
R S Dembo
R S Goldstein
S A Zenios
T Kailath
Vladislav Kargin
W J Heaney
Publication venue
'Elsevier BV'
Publication date
01/01/2002
Field of study
No full text
Crossref
Pricing the Option to Surrender in Incomplete Markets
Author
A Consiglio
A Grosen
+20 more
A Grosen
A King
A R Bacinello
Andrea Consiglio
C Giraldi
C Kuo
Domenico De Giovanni
H F�llmer
J Dupa?ov�
K H�yland
K S Moore
M Hansen
M O Albizzati
P Klaassen
S Mello
S R Pliska
T F Coleman
T M�ller
T Pennanen
T Pennanen
Publication venue
'Elsevier BV'
Publication date
01/01/2007
Field of study
No full text
Crossref
A Provisioning Problem with Stochastic Payments
Author
A Charnes
A Kampas
+28 more
A Nemirovski
A Pr�kopa
A Shapiro
B K Pagnoncelli
B Mandelbrot
Bernardo Pagnoncelli
Ch M Stein
D B Madan
D Dentcheva
H Chernoff
J Dhaene
J Dhaene
J Dupa?ov�
J Harrison
J Luedtke
J Luedtke
L C G Rogers
M C Campi
N Yang
R Cesari
R Cont
R Kaas
S Boyd
S Vanduffel
S Vanduffel
S Vanduffel
Steven Vanduffel
W Hurlimann
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
Strong and Weak Multivariate First-Order Stochastic Dominance
Author
B Armbruster
Barbora Petrovv
+30 more
C C Huang
C C Huang
D Dentcheva
D Dentcheva
D Dentcheva
D Dentcheva
D Dentcheva
D Dentcheva
D Levhari
H Levy
H Levy
H Levy
H Levy
I R Longarela
J Dupa?ov�
J Hu
L F Escudero
M Branda
M Kallio
M Kopa
M Kopa
M Kopa
Milos Kopa
R Meskarian
S Sriboonchitta
T Homem-De Mello
T Post
T Post
T Post
Y Fang
Publication venue
'Elsevier BV'
Publication date
01/01/2018
Field of study
No full text
Crossref
Fast Quadratic Programming for Mean-Variance Portfolio Optimization
Author
A Altman
A B Chhabra
+29 more
A G Quaranta
C C Lin
D Goldfarb
D P Bertsekas
E Barbieri
F Black
G J Alexander
G Pasini
H Chen
H M Markowitz
H Yamashita
J Dupa?ov�
K Ambachtsheer
L F Shampine
L F Shampine
L F Shampine
M Abreu
M Cerm�k
N Birkbeck
N G�rleanu
P M Pardalos
P M Pardalos
R J Vanderbei
S Mizuno
T J Ypma
Vasileios Kontosakos
W Drobetz
W W Hager
Y J Liu
Publication venue
'Elsevier BV'
Publication date
01/01/2020
Field of study
No full text
Crossref
Combining Stochastic Programming and Optimal Control to Solve Multistage Stochastic Optimization Problems
Author
A J Ortega
A Ruszczynski
+37 more
A Ruszczynski
A Ruszczynski
B E Rhoades
C Brezinski
C Rosa
D Barro
D Barro
D Barro
Diana Barro
E Polak
Elio Canestrelli
H R Schwarz
J Borwein
J C Dunn
J Dupa?ov�
J M Mulvey
J R Birge
J R Birge
M D Canon
M D Intriligator
M E Fisher
P L Combettes
R L Franks
R Pytlak
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
R Van Slyke
S J Wright
S P Sethi
S W Wallace
S W Wallace
Springer-Verlag
W R Mann
W R Mann
Y G Evtushenko
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information
Author
A Ben-Tal
A Ben-Tal
+44 more
A Ben-Tal
A Ben-Tal
A Ben-Tal
A Ben-Tal
A Ben-Tal
A Ben-Tal
A Ben-Tal
A Ben-Tal
A Madansky
A Shapiro
Aharon Ben-Tal
Bertrand Melenberg
D A Iancu
D Bertsimas
Dick den Hertog
E A H El Amir
E Delage
F Ruiter
G A Hanasusanto
G C Calafiore
G Gallego
G Gallego
G Perakis
H E Scarf
H P Edmundson
I Jolliffe
I Popescu
J Dupa?ov�
J Goh
J L Gastwirth
J L W V Jensen
J R Birge
J R Birge
K Natarajan
K Postek
Krzysztof Postek
M Grant
R L Smith
S Boyd
S Zymler
W Chen
W W Rogosinsky
W Wiesemann
X Chen
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
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