Analysis of random instances of optimization problems provides valuable insights into the behavior and properties of problem's solutions, feasible region, and optimal values, especially in large-scale cases. A class of problems that have been studied extensively in the literature using the...

This paper applies formal risk management methodologies to optimization of a portfolio of hedge funds (fund of funds). We compare recently developed risk management methodologies: Conditional Value-at-Risk and Conditional Drawdown-at-Risk with more established Mean-Absolute Deviation, Maximum...

The paper considers solving of linear programming problems with p-order conic constraints that are related to a certain class of stochastic optimization models with risk objective or constraints. The proposed approach is based on construction of polyhedral approximations for p-order cones, and...

The paper considers modelling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations that express risk measures via specially constructed...