| Publication | Date of Publication | Type |
|---|
Efficient and robust optimal design for quantile regression based on linear programming
Computational Statistics and Data Analysis | 2024-06-12 | Paper |
Buffered and reduced multidimensional distribution functions and their application in optimization
Optimization Letters | 2024-03-11 | Paper |
Buffered-ranking intervals for virtual profit efficiency analysis
CEJOR. Central European Journal of Operations Research | 2023-11-14 | Paper |
Drawdown beta and portfolio optimization
Quantitative Finance | 2022-07-22 | Paper |
Correction
Quantitative Finance | 2022-07-22 | Paper |
scientific article; zbMATH DE number 7467644 (Why is no real title available?)
| 2022-02-01 | Paper |
Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
Annals of Operations Research | 2021-11-08 | Paper |
Shortest path network problems with stochastic arc weights
Optimization Letters | 2021-09-28 | Paper |
Kantorovich-Rubinstein distance minimization: application to location problems
Springer Optimization and Its Applications | 2020-07-07 | Paper |
Minimizing buffered probability of exceedance by progressive hedging
Mathematical Programming. Series A. Series B | 2020-06-15 | Paper |
Fitting heavy-tailed mixture models with CVaR constraints
Dependence Modeling | 2020-05-12 | Paper |
Checkerboard copula defined by sums of random variables
Dependence Modeling | 2020-04-28 | Paper |
Maximization of AUC and buffered AUC in binary classification
Mathematical Programming. Series A. Series B | 2019-04-24 | Paper |
Mathematical programming techniques for sensor networks
Algorithms | 2018-08-20 | Paper |
Estimation and asymptotics for buffered probability of exceedance
European Journal of Operational Research | 2018-07-25 | Paper |
CVaR distance between univariate probability distributions and approximation problems
Annals of Operations Research | 2018-06-13 | Paper |
Cardinality of upper average and its application to network optimization
SIAM Journal on Optimization | 2018-06-12 | Paper |
Buffered Probability of Exceedance: Mathematical Properties and Optimization
SIAM Journal on Optimization | 2018-04-24 | Paper |
Soft margin support vector classification as buffered probability minimization
| 2018-04-17 | Paper |
Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
Annals of Operations Research | 2018-03-02 | Paper |
Yet Another Convex Sets Subtraction with Application in Nondifferentiable Optimization
| 2018-01-21 | Paper |
Advanced statistical tools for modelling of composition and processing parameters for alloy development
Springer Proceedings in Mathematics & Statistics | 2017-06-23 | Paper |
Support vector machines based on convex risk functions and general norms
Annals of Operations Research | 2017-03-07 | Paper |
CVaR (superquantile) norm: stochastic case
European Journal of Operational Research | 2016-10-07 | Paper |
Two pairs of families of polyhedral norms versus \(\ell _p\)-norms: proximity and applications in optimization
Mathematical Programming. Series A. Series B | 2016-04-04 | Paper |
Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
Computational Management Science | 2015-07-21 | Paper |
Sparse signal reconstruction: LASSO and cardinality approaches
Springer Proceedings in Mathematics & Statistics | 2015-06-04 | Paper |
Capital asset pricing model (CAPM) with drawdown measure
European Journal of Operational Research | 2015-02-03 | Paper |
CVaR norm and applications in optimization
Optimization Letters | 2014-11-28 | Paper |
Value-at-risk support vector machine: stability to outliers
Journal of Combinatorial Optimization | 2014-09-05 | Paper |
Statistical decision problems. Selected concepts and portfolio safeguard case studies
Springer Optimization and Its Applications | 2013-08-07 | Paper |
Conditional value-at-risk and average value-at-risk: estimation and asymptotics
Operations Research | 2012-12-07 | Paper |
Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts
Annals of Operations Research | 2012-03-08 | Paper |
scientific article; zbMATH DE number 5961780 (Why is no real title available?)
| 2011-10-21 | Paper |
Estimating the Probability Distributions of Alloy Impact Toughness: a Constrained Quantile Regression Approach
Lecture Notes in Economics and Mathematical Systems | 2011-08-09 | Paper |
Risk tuning with generalized linear regression
Mathematics of Operations Research | 2011-04-27 | Paper |
Robust wireless network jamming problems
Optimization and Cooperative Control Strategies | 2010-09-20 | Paper |
Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
Computational Optimization and Applications | 2010-08-23 | Paper |
Classification using optimization: application to credit ratings of bonds
| 2008-09-09 | Paper |
The wireless network jamming problem
Journal of Combinatorial Optimization | 2008-04-23 | Paper |
Optimization of composition and processing parameters for alloy development: a statistical model-based approach
Journal of Industrial and Management Optimization | 2008-02-11 | Paper |
Jamming communication networks under complete uncertainty
Optimization Letters | 2008-01-04 | Paper |
Combining Model and Test Data for Optimal Determination of Percentiles and Allowables: CVaR Regression Approach, Part I
Robust Optimization-Directed Design | 2007-09-24 | Paper |
Combining Model and Test Data for Optimal Determination of Percentiles and Allowables: CVaR Regression Approach, Part II
Robust Optimization-Directed Design | 2007-09-24 | Paper |
Aircraft routing under the risk of detection
Naval Research Logistics | 2007-03-02 | Paper |
Pricing European options by numerical replication: quadratic programming with constraints
Asia-Pacific Financial Markets | 2006-11-17 | Paper |
Optimality conditions in portfolio analysis with general deviation measures
Mathematical Programming. Series A. Series B | 2006-09-12 | Paper |
Generalized deviations in risk analysis
Finance and Stochastics | 2006-05-24 | Paper |
Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
| 2001-07-12 | Paper |
