Duality and martingales: A stochastic programming perspective on contingent claims
- Alan J. King
- 2002
- Mathematical Programming, Series B
Paper
Publications
19 results for A.J. King
Applications of flexible pricing in business-to-business electronic commerce
- Martin Bichler
- Jayant Kalagnanam
- et al.
- 2002
- IBM Systems Journal
PaperStock selection combining rule generation and risk/reward portfolio optimization
- C.V. Apte
- Se June Hong
- et al.
- 1996
- CIFEr 1996
Conference paperProbabilistic bounds (via large deviations) for the solutions of stochastic programming problems
- Yuri M. Kaniovski
- Alan J. King
- et al.
- 1995
- Annals of Operations Research
PaperAsymmetric risk measures and tracking models for portfolio optimization under uncertainty
- Alan J. King
- 1993
- Annals of Operations Research
PaperProduction planning via scenario modelling
- Laureano F. Escudero
- Pasumarti V. Kamesam
- et al.
- 1993
- Annals of Operations Research
PaperSensitivity analysis for nonsmooth generalized equations
- Alan J. King
- R.Tyrrell Rockafellar
- 1992
- Mathematical Programming
PaperTracking models and the optimal regret distribution in asset allocation
- Ron S. Dembo
- Alan J. King
- 1992
- Applied Stochastic Models and Data Analysis
PaperLinear‐quadratic efficient frontiers for portfolio optimization
- Alan J. King
- David L. Jensen
- 1992
- Applied Stochastic Models and Data Analysis
Paper