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math.OC2019
Portfolio Optimization under Correlation Constraint
Aditya Maheshwari, Traian Pirvu
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stoch…
math.OC2019★ 1 cited
A Stochastic production planning problem
Elena Cristina Canepa, Dragos-Patru Covei, Traian A. Pirvu
Stochastic production planning problems were studied in several works; the model with one production good was discussed in [3]. The extension to several economic goods is not a tri…