{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,1,11]],"date-time":"2024-01-11T00:03:28Z","timestamp":1704931408259},"reference-count":25,"publisher":"Elsevier BV","issue":"1","license":[{"start":{"date-parts":[[2004,8,1]],"date-time":"2004-08-01T00:00:00Z","timestamp":1091318400000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/tdm\/userlicense\/1.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["European Journal of Operational Research"],"published-print":{"date-parts":[[2004,8]]},"DOI":"10.1016\/s0377-2217(03)00240-6","type":"journal-article","created":{"date-parts":[[2003,9,16]],"date-time":"2003-09-16T22:47:04Z","timestamp":1063752424000},"page":"152-168","source":"Crossref","is-referenced-by-count":5,"title":["Post-tax optimization with stochastic programming"],"prefix":"10.1016","volume":"157","author":[{"given":"Maria A.","family":"Osorio","sequence":"first","affiliation":[]},{"given":"Nalan","family":"G\u00fclp\u0131nar","sequence":"additional","affiliation":[]},{"given":"Ber\u00e7","family":"Rustem","sequence":"additional","affiliation":[]},{"given":"Reuben","family":"Settergren","sequence":"additional","affiliation":[]}],"member":"78","reference":[{"key":"10.1016\/S0377-2217(03)00240-6_BIB1","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1016\/0165-1889(94)90072-8","article-title":"Robust optimal control of stochastic nonlinear economic systems","volume":"18","author":"Becker","year":"1994","journal-title":"Journal of Economic Dynamics and Control"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB2","unstructured":"CPLEX Linear Optimizer 4.0.7 with Mixed Integer and Barrier Solvers, CPLEX Optimization, Inc"},{"issue":"4","key":"10.1016\/S0377-2217(03)00240-6_BIB3","doi-asserted-by":"crossref","first-page":"631","DOI":"10.2307\/1913433","article-title":"Personal taxation and portfolio composition: An econometric analysis","volume":"44","author":"Feldstein","year":"1976","journal-title":"Econometrica"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB4","first-page":"449","article-title":"The stochastic programming extension of the markowitz approach","volume":"5","author":"Frauendorfer","year":"1995","journal-title":"Journal Mass-Parallel Computer Information Systems"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB5","doi-asserted-by":"crossref","unstructured":"N. Gulpinar, B. Rustem, R. Settergren, Optimisation and simulation approaches to scenario tree generation, Journal of Economic Dynamics and Control, forthcoming in 2004","DOI":"10.1016\/S0165-1889(03)00113-1"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB6","series-title":"Computational Methods in Decision Making, Economics and Finance: Optimization Models","first-page":"33","article-title":"Multistage stochastic programming in computational finance","author":"Gulpinar","year":"2002"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB7","doi-asserted-by":"crossref","DOI":"10.4337\/9781035304998.00011","article-title":"Multistage stochastic mean\u2013variance portfolio analysis with transaction cost","volume":"3","author":"Gulpinar","year":"2003","journal-title":"Innovations in Financial and Economic Networks"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB8","series-title":"Stochastic Linear Programming","author":"Kall","year":"1976"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB9","series-title":"Stochastic Programming","author":"Kall","year":"1994"},{"issue":"2","key":"10.1016\/S0377-2217(03)00240-6_BIB10","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1016\/S0377-2217(00)00261-7","article-title":"Scenario generation and stochastic programming models for asset liability management","volume":"134","author":"Kouwenberg","year":"2001","journal-title":"European Journal of Operational Research"},{"issue":"2","key":"10.1016\/S0377-2217(03)00240-6_BIB11","doi-asserted-by":"crossref","first-page":"295","DOI":"10.1287\/mnsc.47.2.295.9834","article-title":"Generating scenario trees for multistage problems","volume":"47","author":"Hoyland","year":"2001","journal-title":"Management Science"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB12","doi-asserted-by":"crossref","first-page":"53","DOI":"10.2307\/1928434","article-title":"Personal taxation, pension wealth, and portfolio composition","volume":"67","author":"Hubbard","year":"1985","journal-title":"Review of Economics and Statistics"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB13","unstructured":"S. Nielsen, Mathematical modeling and optimization with applications in finance, Mat-Ok 3.2 Lecture Notes, Institute for Mathematical Sciences, University of Copenhagen, Denmark, 1997"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB14","unstructured":"C. M\u00e9sz\u00e1ros, BPMPD User's Manual Version 2.20, Department of Computing Research Report #97\/8, July 1997"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB15","series-title":"Financial Engineering, E-Commerce and Supply Chain","first-page":"153","article-title":"Post tax optimal investments","author":"Osorio","year":"2002"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB16","series-title":"Stochastic Programming","author":"Prekopa","year":"1995"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB17","series-title":"Algorithms for Worst-Case Design and Application to Risk Management","author":"Rustem","year":"2002"},{"issue":"2","key":"10.1016\/S0377-2217(03)00240-6_BIB18","doi-asserted-by":"crossref","first-page":"117","DOI":"10.3905\/jpm.24.2.117","article-title":"Measuring and evaluating portfolio performance after taxes","volume":"25","author":"Stein","year":"1998","journal-title":"The Journal of Portfolio Management"},{"issue":"1","key":"10.1016\/S0377-2217(03)00240-6_BIB19","doi-asserted-by":"crossref","first-page":"61","DOI":"10.3905\/jpm.2000.319784","article-title":"Diversification in the presence of taxes","volume":"27","author":"Stein","year":"2000","journal-title":"The Journal of Portfolio Management"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB20","unstructured":"M. Steinbach, Recursive direct optimisation and successive refinement in multistage stochastic programs, Preprint SC 98\u201327, Konrad-Zuse Centrum f\u00fcr Informationstechnik Berlin, 1998"},{"issue":"2","key":"10.1016\/S0377-2217(03)00240-6_BIB21","doi-asserted-by":"crossref","first-page":"32","DOI":"10.3905\/jpm.2001.319790","article-title":"Risk diversification benefits of multiple-stock portfolios","volume":"27","author":"Vassal","year":"2001","journal-title":"The Journal of Portfolio Management"},{"issue":"5","key":"10.1016\/S0377-2217(03)00240-6_BIB22","doi-asserted-by":"crossref","first-page":"673","DOI":"10.1287\/mnsc.44.5.673","article-title":"A minimax portfolio selection rule with linear programming solution","volume":"44","author":"Young","year":"1998","journal-title":"Management Science"},{"key":"10.1016\/S0377-2217(03)00240-6_BIB23","series-title":"Financial Optimization","year":"1993"},{"issue":"10","key":"10.1016\/S0377-2217(03)00240-6_BIB24","doi-asserted-by":"crossref","first-page":"1517","DOI":"10.1016\/S0165-1889(97)00115-2","article-title":"Dynamic models for fixed-income portfolio management under uncertainty","volume":"22","author":"Zenios","year":"1998","journal-title":"Journal of Economic Dynamics and Control"},{"issue":"11","key":"10.1016\/S0377-2217(03)00240-6_BIB25","doi-asserted-by":"crossref","first-page":"1257","DOI":"10.1287\/mnsc.29.11.1257","article-title":"Comparison of alternative utility functions in portfolio selection problems","volume":"29","author":"Kallberg","year":"1983","journal-title":"Management Science"}],"container-title":["European Journal of Operational Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0377221703002406?httpAccept=text\/xml","content-type":"text\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0377221703002406?httpAccept=text\/plain","content-type":"text\/plain","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2024,1,10]],"date-time":"2024-01-10T19:21:23Z","timestamp":1704914483000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/S0377221703002406"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2004,8]]},"references-count":25,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2004,8]]}},"alternative-id":["S0377221703002406"],"URL":"https:\/\/doi.org\/10.1016\/s0377-2217(03)00240-6","relation":{},"ISSN":["0377-2217"],"issn-type":[{"value":"0377-2217","type":"print"}],"subject":[],"published":{"date-parts":[[2004,8]]}}}