Browsing by Author Roman, D

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Showing results 1 to 13 of 13
Issue DateTitleAuthor(s)
2015An algorithm for moment-matching scenario generation with application to financial portfolio optimizationDate, P; Ponomareva, K; Roman, D
2014An asset and liability management (ALM) model using integrated chance constraintsHussin, SAS; Mitra, G; Roman, D
2012Employees Provident Fund (EPF) Malaysia: Generic models for asset and liability management under uncertaintyMitra, G; Roman, D; Sheikh Hussin, Siti Aida
2013Enhanced indexation based on second-order stochastic dominanceRoman, D; Mitra, G; Zverovich, V
2009Hidden Markov models for financial optimization problemsRoman, D; Mitra, G; Spagnolo, N
2012HMM based scenario generation for an investment optimisation problemErlwein, C; Mitra, G; Roman, D
2006Mean-risk models using two risk measures: A multi-objective approachRoman, D; Mitra, G; Darby-Dowman, K
2007Mean-risk models using two risk measures: A multi-objective approachRoman, D; Darby-Dowman, K; Mitra, G
2017Novel approaches for portfolio construction using second order stochastic dominanceRoman, D; Arbex Valle, C; Mitra, G
2004Portfolio optimisation models and properties of return distributionsRoman, D; Darby-Dowman, K; Mitra, G
2016Portfolio optimisation using risky assets with options as derivative insuranceMaasar, MA; Roman, D; Date, P
2009Portfolio selection models: A review and new directionsRoman, D; Mitra, G
2011Processing second-order stochastic dominance models using cutting-plane representationsFabian, CI; Mitra, G; Roman, D