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Minmax robustness for multi-objective optimization problems

Ehrgott, Matthias; Ide, Jonas; Schöbel, Anita - In: European journal of operational research : EJOR 239 (2014) 1, pp. 17-31

Persistent link: https://www.econbiz.de/10010403699

Robustness-based portfolio optimization under epistemic uncertainty

Asadujjaman, Md.; Zaman, Kais - In: Journal of industrial engineering international 15 (2019) 2, pp. 207-219

discussed empirically based on portfolio return and risk. …

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An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets

Fernandes, Betina; Street, Alexandre; Valladão, Davi; … - In: European journal of operational research : EJOR 255 (2016) 3, pp. 961-970

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Robust utility maximization in a multivariate financial market with stochastic drift

Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28

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Robust temporal optimisation for a crop planning problem under climate change uncertainty

Randall, M.; Montgomery, J.; Lewis, A. - In: Operations research perspectives 9 (2022), pp. 1-13

Considering a temporal dimension allows for the delivery of rolling solutions to complex real-world problems. Moving forward in time brings uncertainty, and large margins for potential error in solutions. For the multi-year crop planning problem, the largest uncertainty is how the climate will...

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Stability advances in robust portfolio optimization under parallelepiped uncertainty

Kara, Güray; Özmen, Ayşe; Weber, Gerhard-Wilhelm - In: Central European journal of operations research : CEJOR … 27 (2019) 1, pp. 241-261

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Robust utility maximization under model uncertainty via a penalization approach

Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Mathematics and financial economics 16 (2022) 1, pp. 51-88

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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

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Robust adversarial risk analysis : a level-k approach

Albert, Laura A.; Rothschild, Casey G.; Guikema, Seth - In: Decision analysis : a journal of the Institute for … 9 (2012) 1, pp. 41-54

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Four types of ignorance

Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of monetary economics 69 (2015), pp. 97-113

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