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Empirical studies on internationally diversified investment using a stock-bond integrated model
1. | Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan, Japan |
[1] |
Zhifeng Dai, Huan Zhu, Fenghua Wen. Two nonparametric approaches to mean absolute deviation portfolio selection model. Journal of Industrial and Management Optimization, 2020, 16 (5) : 2283-2303. doi: 10.3934/jimo.2019054 |
[2] |
Pei Wang, Ling Zhang, Zhongfei Li. Asset allocation for a DC pension plan with learning about stock return predictability. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021138 |
[3] |
Peng Zhang. Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints. Journal of Industrial and Management Optimization, 2017, 13 (3) : 1169-1187. doi: 10.3934/jimo.2016067 |
[4] |
Editorial Office. RETRACTION: Peng Zhang, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection. Journal of Industrial and Management Optimization, 2019, 15 (2) : 537-564. doi: 10.3934/jimo.2018056 |
[5] |
Miao Tian, Xiangfeng Yang, Yi Zhang. Lookback option pricing problem of mean-reverting stock model in uncertain environment. Journal of Industrial and Management Optimization, 2021, 17 (5) : 2703-2714. doi: 10.3934/jimo.2020090 |
[6] |
Haixiang Yao, Zhongfei Li, Yongzeng Lai. Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Journal of Industrial and Management Optimization, 2016, 12 (1) : 187-209. doi: 10.3934/jimo.2016.12.187 |
[7] |
Zhimin Liu, Shaojian Qu, Hassan Raza, Zhong Wu, Deqiang Qu, Jianhui Du. Two-stage mean-risk stochastic mixed integer optimization model for location-allocation problems under uncertain environment. Journal of Industrial and Management Optimization, 2021, 17 (5) : 2783-2804. doi: 10.3934/jimo.2020094 |
[8] |
Sedighe Asghariniya, Hamed Zhiani Rezai, Saeid Mehrabian. Resource allocation: A common set of weights model. Numerical Algebra, Control and Optimization, 2020, 10 (3) : 257-273. doi: 10.3934/naco.2020001 |
[9] |
Michael Grinfeld, Harbir Lamba, Rod Cross. A mesoscopic stock market model with hysteretic agents. Discrete and Continuous Dynamical Systems - B, 2013, 18 (2) : 403-415. doi: 10.3934/dcdsb.2013.18.403 |
[10] |
Cuilian You, Le Bo. Option pricing formulas for generalized fuzzy stock model. Journal of Industrial and Management Optimization, 2020, 16 (1) : 387-396. doi: 10.3934/jimo.2018158 |
[11] |
Francesca Biagini, Jacopo Mancin. Financial asset price bubbles under model uncertainty. Probability, Uncertainty and Quantitative Risk, 2017, 2 (0) : 14-. doi: 10.1186/s41546-017-0026-3 |
[12] |
Yu Chen, Zixian Cui, Shihan Di, Peibiao Zhao. Capital asset pricing model under distribution uncertainty. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021113 |
[13] |
Kjartan G. Magnússon, Sven Th. Sigurdsson, Petro Babak, Stefán F. Gudmundsson, Eva Hlín Dereksdóttir. A continuous density Kolmogorov type model for a migrating fish stock. Discrete and Continuous Dynamical Systems - B, 2004, 4 (3) : 695-704. doi: 10.3934/dcdsb.2004.4.695 |
[14] |
Zuo Quan Xu, Fahuai Yi. An optimal consumption-investment model with constraint on consumption. Mathematical Control and Related Fields, 2016, 6 (3) : 517-534. doi: 10.3934/mcrf.2016014 |
[15] |
Chun-Hui He, Shu-Hua Liu, Chao Liu, Hamid Mohammad-Sedighi. A novel bond stress-slip model for 3-D printed concretes. Discrete and Continuous Dynamical Systems - S, 2022, 15 (7) : 1669-1683. doi: 10.3934/dcdss.2021161 |
[16] |
Ishak Alia, Mohamed Sofiane Alia. Open-loop equilibrium strategy for mean-variance Portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022048 |
[17] |
Xin Zhou, Liangping Shi, Bingzhi Huang. Integrated inventory model with stochastic lead time and controllable variability for milk runs. Journal of Industrial and Management Optimization, 2012, 8 (3) : 657-672. doi: 10.3934/jimo.2012.8.657 |
[18] |
Hoi Tin Kong, Qing Zhang. An optimal trading rule of a mean-reverting asset. Discrete and Continuous Dynamical Systems - B, 2010, 14 (4) : 1403-1417. doi: 10.3934/dcdsb.2010.14.1403 |
[19] |
Yanqing Liu, Jiyuan Tao, Huan Zhang, Xianchao Xiu, Lingchen Kong. Fused LASSO penalized least absolute deviation estimator for high dimensional linear regression. Numerical Algebra, Control and Optimization, 2018, 8 (1) : 97-117. doi: 10.3934/naco.2018006 |
[20] |
Cheng-Kang Chen, Yi-Xiang Liao. A deteriorating inventory model for an intermediary firm under return on inventory investment maximization. Journal of Industrial and Management Optimization, 2014, 10 (4) : 989-1000. doi: 10.3934/jimo.2014.10.989 |
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