Denault, Michel; Simonato, Jean-Guy Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions. (English) Zbl 1395.91400 Comput. Oper. Res. 79, 174-189 (2017). MSC: 91G10 91G60 90C39 91G80 62P05 65C05 PDFBibTeX XMLCite \textit{M. Denault} and \textit{J.-G. Simonato}, Comput. Oper. Res. 79, 174--189 (2017; Zbl 1395.91400) Full Text: DOI
Denault, Michel; Delage, Erick; Simonato, Jean-Guy Dynamic portfolio choice: a simulation-and-regression approach. (English) Zbl 1370.90306 Optim. Eng. 18, No. 2, 369-406 (2017). MSC: 90C90 90C39 90C15 91G10 PDFBibTeX XMLCite \textit{M. Denault} et al., Optim. Eng. 18, No. 2, 369--406 (2017; Zbl 1370.90306) Full Text: DOI
Denault, Michel; Simonato, Jean-Guy; Stentoft, Lars A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables. (English) Zbl 1348.90617 Comput. Oper. Res. 40, No. 11, 2760-2769 (2013). MSC: 90C40 90C15 90C39 90C59 PDFBibTeX XMLCite \textit{M. Denault} et al., Comput. Oper. Res. 40, No. 11, 2760--2769 (2013; Zbl 1348.90617) Full Text: DOI
Denault, Michel; Goffin, Jean-Louis The analytic-center cutting-plane method for variational inequalities: a quadratic-cut approach. (English) Zbl 1239.90098 INFORMS J. Comput. 17, No. 2, 192-206 (2005). MSC: 90C33 49J40 PDFBibTeX XMLCite \textit{M. Denault} and \textit{J.-L. Goffin}, INFORMS J. Comput. 17, No. 2, 192--206 (2005; Zbl 1239.90098) Full Text: DOI
Denault, Michel; Pigeon, Benoit Numerical solving of linear complementarity problems and evaluation of American options. (Résolution numérique de problèmes de complémentarité linéaire et évaluation d’options américaines.) (English. English summary) Zbl 1521.90111 INFOR 42, No. 1, 1-21 (2004). MSC: 90C33 91G20 PDFBibTeX XMLCite \textit{M. Denault} and \textit{B. Pigeon}, INFOR 42, No. 1, 1--21 (2004; Zbl 1521.90111) Full Text: DOI
Denault, Michel; Goffin, J.-L. Solving variational inequalities with a quadratic cut method: a primal-dual, Jacobian-free approach. (English) Zbl 1049.90100 Comput. Oper. Res. 31, No. 5, 721-743 (2004). MSC: 90C33 49J40 PDFBibTeX XMLCite \textit{M. Denault} and \textit{J. L. Goffin}, Comput. Oper. Res. 31, No. 5, 721--743 (2004; Zbl 1049.90100) Full Text: DOI
Denault, M.; Goffin, J.-L. On a primal-dual analytic center cutting plane method for variational inequalities. (English) Zbl 1040.90548 Comput. Optim. Appl. 12, No. 1-3, 127-155 (1999). MSC: 90C33 49J40 90C51 PDFBibTeX XMLCite \textit{M. Denault} and \textit{J. L. Goffin}, Comput. Optim. Appl. 12, No. 1--3, 127--155 (1999; Zbl 1040.90548) Full Text: DOI