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Mean and variance optimization of non–linear systems and worst–case analysis

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  • P. Parpas
  • B. Rustem
  • V. Wieland
  • S. Žaković

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  • P. Parpas & B. Rustem & V. Wieland & S. Žaković, 2009. "Mean and variance optimization of non–linear systems and worst–case analysis," Computational Optimization and Applications, Springer, vol. 43(2), pages 235-259, June.
    • Handle: RePEc:spr:coopap:v:43:y:2009:i:2:p:235-259
    DOI: 10.1007/s10589-007-9136-7
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    References listed on IDEAS

    as
    1. Rustem, Berc, 1994. "Stochastic and robust control of nonlinear economic systems," European Journal of Operational Research, Elsevier, vol. 73(2), pages 304-318, March.
    2. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Permanent Income and Pricing," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 3, pages 33-81, World Scientific Publishing Co. Pte. Ltd..
    3. J. Tetlow, Robert & von zur Muehlen, Peter, 2001. "Robust monetary policy with misspecified models: Does model uncertainty always call for attenuated policy?," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 911-949, June.
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