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Analysis of stochastic dual dynamic programming method
Shapiro, Alexander - In: European journal of operational research : EJOR 209 (2011) 1, pp. 63-72
Persistent link: https://www.econbiz.de/10008798705
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Minimax and risk averse multistage stochastic programming
Shapiro, Alexander - In: European journal of operational research : EJOR 219 (2012) 3, pp. 719-726
Persistent link: https://www.econbiz.de/10009526593
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Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
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Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun; Xiong, Yan; Li, Duan - In: European journal of operational research : EJOR 249 (2016) 2, pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
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Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989
Persistent link: https://www.econbiz.de/10011445359
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Risk neutral and risk averse Stochastic Dual Dynamic Programming method
Shapiro, Alexander; Tekaya, Wajdi; Costa, Joari Paulo da; … - In: European journal of operational research : EJOR 224 (2013) 2, pp. 375-391
Persistent link: https://www.econbiz.de/10009683060
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Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
Shapiro, Alexander - In: European journal of operational research : EJOR 288 (2021) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10012496519
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Risk neutral reformulation approach to risk averse stochastic programming
Liu, Rui Peng; Shapiro, Alexander - In: European journal of operational research : EJOR 286 (2020) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10012239878
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Modeling time-dependent randomness in stochastic dual dynamic programming
Löhndorf, Nils; Shapiro, Alexander - In: European journal of operational research : EJOR 273 (2019) 2, pp. 650-661
Persistent link: https://www.econbiz.de/10011987574
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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu; Gao, Jianjun; Shi, Yun; Zhu, Shushang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 781-789
Persistent link: https://www.econbiz.de/10012003667