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An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
Fernandes, Betina; Street, Alexandre; Valladão, Davi; … - In: European journal of operational research : EJOR 255 (2016) 3, pp. 961-970
Persistent link: https://www.econbiz.de/10011556541
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Routing optimization under uncertainty
Jaillet, Patrick; Qi, Jin; Sim, Melvyn - In: Operations research 64 (2016) 1, pp. 186-200
Persistent link: https://www.econbiz.de/10011447853
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A robust optimization approach with probe-able uncertainty
Lee, Chungmok - In: European journal of operational research : EJOR 296 (2022) 1, pp. 218-239
Persistent link: https://www.econbiz.de/10012820157
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Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
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On the optimality of affine policies for budgeted uncertainty sets
El Housni, Omar; Goyal, Vineet - In: Mathematics of operations research 46 (2021) 2, pp. 674-711
Persistent link: https://www.econbiz.de/10012582195
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An almost robust model for minimizing disruption exposures in supply systems
Zhao, Kena; Ng, Tsan Sheng Adam; Tan, Chin Hon; Pang, … - In: European journal of operational research : EJOR 295 (2021) 2, pp. 547-559
Persistent link: https://www.econbiz.de/10013205967
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Optimal portfolio choice with crash risk and model ambiguity
Korn, Ralf; Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10013189925
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Distributionally robust optimization under endogenous uncertainty with an application in retrofitting planning
Doan, Xuan Vinh - In: European journal of operational research : EJOR 300 (2022) 1, pp. 73-84
Persistent link: https://www.econbiz.de/10013173832
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Robust multi-product newsvendor model with uncertain demand and substitution
Zhang, Jie; Xie, Weijun; Sarin, Subhash Chander - In: European journal of operational research : EJOR 293 (2021) 1, pp. 190-202
Persistent link: https://www.econbiz.de/10012502466