Optimization with Stochastic Dominance Constraints
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(only showing first 100 items - show all)- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management
- Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
- Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints
- Portfolio optimization based on stochastic dominance and empirical likelihood
- Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications
- Risk tomography
- Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
- Financial analysis based sectoral portfolio optimization under second order stochastic dominance
- Individual optimal pension allocation under stochastic dominance constraints
- Stochastic dominance under the nonlinear expected utilities
- Multistage portfolio optimization with multivariate dominance constraints
- Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
- A characterization of Nash equilibrium for the games with random payoffs
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Robust decision making using a general utility set
- Higher-degree stochastic dominance optimality and efficiency
- On risk management of a two-stage stochastic mixed 0-1 model for the closed-loop supply chain design problem
- Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
- Novel approaches for portfolio construction using second order stochastic dominance
- A joint model of probabilistic/robust constraints for gas transport management in stationary networks
- On Banach spaces of vector-valued random variables and their duals motivated by risk measures
- Some equilibrium problems under uncertainty and random variational inequalities
- Risk-averse feasible policies for large-scale multistage stochastic linear programs
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
- A systematic approach for examining the impact of calibration uncertainty in disease modeling
- A smoothing algorithm for a new two-stage stochastic model of supply chain based on sample average approximation
- B{\&}B method for discrete partial order optimization
- Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties
- Interval-based stochastic dominance: theoretical framework and application to portfolio choices
- Incomplete risk-preference information in portfolio decision analysis
- Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- Fraction-degree reference dependent stochastic dominance
- Frameworks and results in distributionally robust optimization
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- Portfolio diversification based on stochastic dominance under incomplete probability information
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures
- An incremental bundle method for portfolio selection problem under second-order stochastic dominance
- On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
- A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision
- Pension fund management with investment certificates and stochastic dominance
- Fair resource allocation: using welfare-based dominance constraints
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- Stochastically weighted stochastic dominance concepts with an application in capital budgeting
- Shape-restricted inference for Lorenz curves using duality theory
- Risk aversion for an electricity retailer with second-order stochastic dominance constraints
- Maximum excess dominance: identifying impractical solutions in linear problems with interval coefficients
- Can commodities dominate stock and bond portfolios?
- Variational inequality approach to stochastic Nash equilibrium problems with an application to Cournot oligopoly
- Finding efficient and environmentally friendly paths for risk-averse freight carriers
- Equivalence of the problems with quantile and integral quantile criteria
- Aspects of optimization with stochastic dominance
- A quantitative comparison of risk measures
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
- Alternate risk measures for emergency medical service system design
- Stability analysis of stochastic programs with second order dominance constraints
- Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
- Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints
- On measuring and profiling catastrophic risks
- Inverse stochastic dominance constraints and rank dependent expected utility theory
- Portfolio construction based on stochastic dominance and target return distributions
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- A general test for SSD portfolio efficiency
- Enhanced indexation based on second-order stochastic dominance
- Regularization of stochastic variational inequalities and a comparison of an \(L_p\) and a sample-path approach
- Optimal path problems with second-order stochastic dominance constraints
- Smart network based portfolios
- Bounds and approximations for multistage stochastic programs
- Two-stage optimization problems with multivariate stochastic order constraints
- Multivariate stochastic dominance for risk averters and risk seekers
- A smoothing penalized sample average approximation method for stochastic programs with second-order stochastic dominance constraints
- A new rank dependent utility approach to model risk averse preferences in portfolio optimization
- Stability and sensitivity of stochastic dominance constrained optimization models
- Sampling average approximation method for a class of stochastic Nash equilibrium problems
- Two-stage stochastic optimization meets two-scale simulation
- Primal-dual algorithms for optimization with stochastic dominance
- Optimization with multivariate stochastic dominance constraints
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
- Risk aversion in two-stage stochastic integer programming
- Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
- Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric.
- Cut generation for optimization problems with multivariate risk constraints
- Stochastic dominance: convexity and some efficiency tests
- On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
- CVaR (superquantile) norm: stochastic case
- Ambiguity in risk preferences in robust stochastic optimization
- An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- New Formulations for Optimization under Stochastic Dominance Constraints
- Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints
- Scenario MIN-MAX optimization and the risk of empirical costs
- On stochastic variational inequalities with mean value constraints
- A branch-and-bound method for multistage stochastic integer programs with risk objectives
- Stochastic dominance for sequences and implied utility in dynamic optimization
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