Rustem B.

B. Rustem

Information about the author B. Rustem will soon be added to the site.
Found 4 papers in total
Tax impact on multi-stage mean-variance portfolio allocation
Tax impact on multi-stage mean-variance portfolio allocation
2004
We investigate the sensitivity to tax change of multi-stage portfolio allocation over...
Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty
Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty
2000
We consider a framework for approximating the effects of uncertainty within the...
Solving a mixed-integer multiobjective bond portfolio model involving logical conditions
Solving a mixed-integer multiobjective bond portfolio model involving logical conditions
1998
This paper presents the application of a logic-based modelling language and integer...
Multi-period minimax hedging strategies
Multi-period minimax hedging strategies
1996
Option pricing and hedging under transaction costs are of major importance to...
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