Ambiguity in risk preferences in robust stochastic optimization
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Cites work
- scientific article; zbMATH DE number 3257962 (Why is no real title available?)
- scientific article; zbMATH DE number 3320765 (Why is no real title available?)
- A benchmark solution for the risk-averse newsvendor problem
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- Optimization with Stochastic Dominance Constraints
- Optimization with a class of multivariate integral stochastic order constraints
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- Stochastic orders
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- The risk-averse newsvendor problem with random capacity
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Cited in
(19)- Shortfall Risk Models When Information on Loss Function Is Incomplete
- Variational theory for optimization under stochastic ambiguity
- Risk measures under model uncertainty: a Bayesian viewpoint
- Primal-dual algorithms for optimization with stochastic dominance
- Uncertainty Preferences in Robust Mixed-Integer Linear Optimization with Endogenous Uncertainty
- Optimization with reference-based robust preference constraints
- Utility preference robust optimization with moment-type information structure
- Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
- Statistical robustness in utility preference robust optimization models
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Robust decision making using a general utility set
- Preference robust models in multivariate utility-based shortfall risk minimization
- An equilibrium model of the supply chain network under multi-attribute behaviors analysis
- Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
- Robust optimization approximation for ambiguous P-model and its application
- Preference Robust Optimization for Choice Functions on the Space of CDFs
- An almost robust model for minimizing disruption exposures in supply systems
- Preference robust distortion risk measure and its application
- A survey of decision making and optimization under uncertainty
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