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The value of perfect information as a risk measure
Pflug, Georg - In: Dynamic stochastic optimization : [this volume includes …, (pp. 275-291). 2004
Persistent link: https://www.econbiz.de/10003488178
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Risk management decisions and value under uncertainty
Barone-Adesi, Giovanni; Clark, Ephraim; Prigent, Jean-Luc - In: Risk management decisions and value under uncertainty, (pp. 603-604). 2022
Persistent link: https://www.econbiz.de/10013341955
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On optimal growth under uncertainty : some examples
Gama-Velázquez, Adriana - In: Trends in mathematical economics : dialogues between …, (pp. 147-161). 2016
Persistent link: https://www.econbiz.de/10011800698
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Seismic risk mitigation decisions under uncertainty
MacGuire, Robin K. - In: Risk assessment, modeling and decision support : …, (pp. 185-198). 2008
Persistent link: https://www.econbiz.de/10003647481
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Modeling uncertainty of expert elicitation for use in risk-based optimization
Teter, Michael D.; Royset, Johannes O.; Newman, Alexandra M. - 2019
Persistent link: https://www.econbiz.de/10012116215
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Application of stochastic programming to reduce uncertainty in quality-based supply planning of slaughterhouses
Rijpkema, Willem A.; Hendrix, Eligius M. T.; Rossi, Roberto - In: Analytical and stochastic modelling techniques, (pp. 613-624). 2016
Persistent link: https://www.econbiz.de/10011484411
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Portfolio optimization with risk control by stochastic dominance constraints
Dentcheva, Darinka; Ruszczyński, Andrzej P. - In: Stochastic programming : the state of the art ; in …, (pp. 189-211). 2011
Persistent link: https://www.econbiz.de/10008798656
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Stochastic optimization of risk functions via parametric smoothing
Ermolʹev, Jurij M.; Norkin, Vladimir I. - In: Dynamic stochastic optimization : [this volume includes …, (pp. 225-247). 2004
Persistent link: https://www.econbiz.de/10003488010
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Sequential Monte Carlo sampling for state space models
Wüthrich, Mario V. - In: Robustness in econometrics, (pp. 25-50). 2017
The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.
Persistent link: https://www.econbiz.de/10011800920
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Robust multicriteria risk-averse stochastic programming models
Liu, Xiao; Küçükyavuz, Simge; Noyan, Nilay - 2017
Persistent link: https://www.econbiz.de/10011763081