Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
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Cites work
- scientific article; zbMATH DE number 3770836 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- A VaR Black-Litterman model for the construction of absolute return fund-of-funds
- A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
- An integer programming approach for linear programs with probabilistic constraints
- Concavity and efficient points of discrete distributions in probabilistic programming.
- Convex Approximations of Chance Constrained Programs
- Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
- IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation
- Lectures on Stochastic Programming
- On mixing sets arising in chance-constrained programming
- Pattern-based modeling and solution of probabilistically constrained optimization problems
- Robust solutions of uncertain linear programs
- Sample average approximation method for chance constrained programming: Theory and applications
- Scenario approximations of chance constraints
- The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
- Uncertain convex programs: randomized solutions and confidence levels
Cited in
(13)- Risk-return analysis. Vol. I. The theory and practice of rational investing. With contributions by Kenneth A. Blay, Anthony Tessitore, Ansel Tessitore and Nilfur Usmen. With a foreword by Stephen A. Batman
- On Conditional Risk Assessments in Scenario Optimization
- Risk and complexity in scenario optimization
- Scenario MIN-MAX optimization and the risk of empirical costs
- Chance-constrained problems and rare events: an importance sampling approach
- The convergence of set-valued scenario approach for downside risk minimization
- Expected shortfall: heuristics and certificates
- New safe approximation of ambiguous probabilistic constraints for financial optimization problem
- Partial sample average approximation method for chance constrained problems
- FAST—Fast Algorithm for the Scenario Technique
- A linear programming approach for linear programs with probabilistic constraints
- Wait-and-judge scenario optimization
- Recovery strategies from major supply disruptions in single and multiple sourcing networks
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