Ambiguity in risk preferences in robust stochastic optimization
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Publication:323319
DOI10.1016/J.EJOR.2016.03.016zbMATH Open1346.90638OpenAlexW2328384767MaRDI QIDQ323319FDOQ323319
Authors: Lunce Fu, Maged Dessouky, William B. Haskell 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.03.016
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Inequalities; stochastic orderings (60E15) Portfolio theory (91G10) Stochastic programming (90C15) Inventory, storage, reservoirs (90B05)
Cites Work
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Cited In (18)
- Primal-dual algorithms for optimization with stochastic dominance
- Statistical robustness in utility preference robust optimization models
- A survey of decision making and optimization under uncertainty
- Robust decision making using a general utility set
- Risk measures under model uncertainty: a Bayesian viewpoint
- Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Variational theory for optimization under stochastic ambiguity
- An almost robust model for minimizing disruption exposures in supply systems
- Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
- Shortfall Risk Models When Information on Loss Function Is Incomplete
- Preference Robust Optimization for Choice Functions on the Space of CDFs
- Preference robust models in multivariate utility-based shortfall risk minimization
- Optimization with reference-based robust preference constraints
- Preference robust distortion risk measure and its application
- Uncertainty Preferences in Robust Mixed-Integer Linear Optimization with Endogenous Uncertainty
- An equilibrium model of the supply chain network under multi-attribute behaviors analysis
- Robust optimization approximation for ambiguous P-model and its application
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