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Stochastic combinatorial optimization with controllable risk aversion level
So, Anthony Man-Cho; Zhang, Jiawei; Ye, Yinyu - In: Mathematics of operations research 34 (2009) 3, pp. 522-537
Persistent link: https://www.econbiz.de/10003892392
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Robust portfolio choice and indifference valuation
Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 39 (2014) 4, pp. 1109-1141
Persistent link: https://www.econbiz.de/10010462159
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Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings : a viscosity solution approach
Suzuki, Kiyoshi - In: Mathematics of operations research 46 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012498193
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Models for minimax stochastic linear optimization problems with risk aversion
Bertsimas, Dimitris; Doan, Xuan Vinh; Natarajan, Karthik; … - In: Mathematics of operations research 35 (2010) 3, pp. 580-602
Persistent link: https://www.econbiz.de/10008660776
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Epi-regularization of risk measures
Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
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Additive consisency of risk measures and its application to risk-averse routing in networks
Cominetti, Roberto; Torrico, Alfredo - In: Mathematics of operations research 41 (2016) 4, pp. 1510-1521
Persistent link: https://www.econbiz.de/10011595108
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Risk-averse selfish routing
Lianeas, Thanasis; Nikolova, Evdokia; Stier-Moses, … - In: Mathematics of operations research 44 (2019) 1, pp. 38-57
Persistent link: https://www.econbiz.de/10012001056
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Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
Cavazos-Cadena, Rolando - In: Mathematics of operations research 43 (2018) 3, pp. 1025-1050
Persistent link: https://www.econbiz.de/10011914392
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Reference dependence and market participation
Guasoni, Paolo; Meireles-Rodrigues, Andrea - In: Mathematics of operations research 45 (2020) 1, pp. 129-156
Persistent link: https://www.econbiz.de/10012183025
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Optimal stopping under uncertainty in drift and jump intensity
Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209
Persistent link: https://www.econbiz.de/10011956978