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Scenario-based stochastic model for supplier selection and order allocation under disruption risk and quantity discount
Hamdi, Faiza; Masmoudi, Faouzi - In: International journal of risk assessment and management … 25 (2022) 1/2, pp. 84-102
Persistent link: https://www.econbiz.de/10014227076
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CVaR hedging using quantization-based stochastic approximation algorithm
Bardou, O.; Frikha, N.; Pagès, Gilles - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 184-229
Persistent link: https://www.econbiz.de/10011550286
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Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...
Persistent link: https://www.econbiz.de/10011543019
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Developing scenario-based robust optimisation approaches for the reverse logisitcs network design problem under uncertain environments
Babazadeh, Reza; Jolai, Fariborz; Razmi, Jafar - In: International journal of services and operations management 20 (2015) 4, pp. 418-440
Persistent link: https://www.econbiz.de/10011403636
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Evaluation of the impacts of governmental policies on the biofuels supply chain design under uncertainty
Kazemzadeh, Narges; Hu, Guiping - In: International journal of sustainable economy 7 (2015) 3, pp. 203-219
Persistent link: https://www.econbiz.de/10011414199
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Adaptive stochastic risk estimation of firm operating profit
Akca, Ahmet; Çanakoğlu, Ethem - In: Journal of industrial and business economics 48 (2021) 3, pp. 463-504
Persistent link: https://www.econbiz.de/10012621417
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Optimisation of supply chain networks under uncertainty : conditional value at risk approach
Babazadeh, Reza; Sabbaghnia, Ali - In: International journal of management and decision making … 17 (2018) 4, pp. 488-508
Persistent link: https://www.econbiz.de/10011971650
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New algorithmic framework for conditional value at risk : application to stochastic fixed-charge transportation
Fernández, Elena; Hinojosa, Yolanda; Puerto, Justo; … - In: European journal of operational research : EJOR 277 (2019) 1, pp. 215-226
Persistent link: https://www.econbiz.de/10012014841
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Expected shortfall : heuristics and certificates
Ramponi, Federico Alessandro; Campi, Marco C. - In: European journal of operational research : EJOR 267 (2018) 3, pp. 1003-1013
Persistent link: https://www.econbiz.de/10011812858
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True or spurious long memory in European non-EMU currencies
Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230
Persistent link: https://www.econbiz.de/10011912762