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A unified framework for stochastic optimization
Powell, Warren B. - In: European journal of operational research : EJOR 275 (2019) 3, pp. 795-821
Persistent link: https://www.econbiz.de/10011993597
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Portfolio optimization with entropic value-at-risk
Ahmadi-Javid, Amir; Fallah-Tafti, Malihe - In: European journal of operational research : EJOR 279 (2019) 1, pp. 225-241
Persistent link: https://www.econbiz.de/10012102740
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Uncertainty representation and risk management for direct segmented marketing
Pachamanova, Dessislava A.; Lo, Victor S.; Gülpınar, … - In: Journal of marketing management : JMM ; journal of the … 36 (2020) 1/2, pp. 149-175
Persistent link: https://www.econbiz.de/10012178695
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The construction of an investment portfolio using stochastic programming
Kabašinskas, Audrius; Kadikinaitė, Lina - In: Journal of sustainable finance & investment 6 (2016) 3, pp. 151-160
Persistent link: https://www.econbiz.de/10011722990
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Second-order stochastic dominance constrained portfolio optimization : theory and computational tests
Kallio, Markku; Hardoroudi, Nasim Dehghan - In: European journal of operational research : EJOR 264 (2018) 2, pp. 675-685
Persistent link: https://www.econbiz.de/10011801909
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Robust decision making using a general utility set
Hu, Jian; Bansal, Manish; Mehrotra, Sanjay - In: European journal of operational research : EJOR 269 (2018) 2, pp. 699-714
Persistent link: https://www.econbiz.de/10011864436
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Optimisation of allocated portfolio using multi-objective stochastic programming
Ekhtiari, Mostafa; Alinezhad, Alireza; Kazemi, Abolfazl - In: International journal of financial services management … 6 (2013) 2, pp. 155-169
Persistent link: https://www.econbiz.de/10010237997
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An exact method for constrained maximization of the conditional value-at-risk of a class of stochastic submodular functions
Wu, Hao-Hsiang; Küçükyavuz, Simge - In: Operations research letters 48 (2020) 3, pp. 356-361
Persistent link: https://www.econbiz.de/10012254099
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SAA method based on modified Newton method for stochastic variational inequality with second-oder cone constraints and application in portfolio optimization
Chen, Shuang; Pang, Li-Ping; Ma, Xue-Fei; Li, Dan - In: Mathematical methods of operations research 84 (2016) 1, pp. 129-154
Persistent link: https://www.econbiz.de/10011673458
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Restricted risk measures and robust optimization
Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European journal of operational research : EJOR 241 (2015) 3, pp. 771-782
Persistent link: https://www.econbiz.de/10010487547