scientific article

From MaRDI portal
Publication:3632460

zbMath1206.90108MaRDI QIDQ3632460

Dentcheva, Darinka, Ruszczyński, Andrzej

Publication date: 11 June 2009


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Cut generation for optimization problems with multivariate risk constraintsRobust stochastic dominance and its application to risk-averse optimizationUnnamed ItemDistributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein BallOptimization with a class of multivariate integral stochastic order constraintsEnhanced indexing for risk averse investors using relaxed second order stochastic dominanceMean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamicsOptimization with Reference-Based Robust Preference ConstraintsAugmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order ConstraintsThe deepest event cuts in risk-averse optimization with application to radiation therapy designStochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk ManagementTaking Risk into Account in Electricity Portfolio ManagementPortfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational StudyOn the price of risk in a mean-risk optimization modelModeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theoremPortfolio Optimization with Risk Control by Stochastic Dominance ConstraintsStability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourseExpected Utility Maximization with Stochastic Dominance Constraints in Complete MarketsStochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinementsInverse stochastic dominance constraints and rank dependent expected utility theoryGray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimizationTwo-Stage Optimization Problems with Multivariate Stochastic Order ConstraintsTime-Consistent Decisions and Temporal Decomposition of Coherent Risk FunctionalsPartial sample average approximation method for chance constrained problemsLipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints