2 papers
cs.CE2021
Multicriteria asset allocation in practice
Kerstin Dächert, Ria Grindel, Elisabeth Leoff +3
In this paper we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz propose…
math.OC2018
A bicriteria perspective on L-Penalty Approaches - A corrigendum to Siddiqui and Gabriel's L-Penalty Approach for Solving MPECs
Kerstin Dächert, Sauleh Siddiqui, Javier Saez-Gallego +2
This paper presents a corrigendum to Theorems 2 and 3 in Siddiqui S, Gabriel S (2013), An SOS1-Based Approach for Solving MPECs with a Natural Gas Market Application, Networks and…