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Browsing Duke Scholarly Works by Author "0397075"

DukeSpace

Browsing Duke Scholarly Works by Author "0397075"

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  • Brown, Prof David; Smith, James; Sun, Prof Peng (INFORMS, 2010)
    We describe a general technique for determining upper bounds on maximal values (or lower bounds on minimal costs) in stochastic dynamic programs. In this approach, we relax the nonanticipativity constraints that require ...
  • Brown, Prof David (INFORMS, 2010)
    We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity needs, with a model that accounts for both permanent and temporary price impact of trading. We first ...
  • Brown, Prof David (INFORMS, 2010)
    In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision maker to vary the protection level in a smooth way across the uncertainty set. We apply ...