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New bounds and approximations for the probability distribution of the length of the critical path
Prékopa, András; Long, Jianmin; Szántai, Tamás - In: Dynamic stochastic optimization : [this volume includes …, (pp. 293-320). 2004
Persistent link: https://www.econbiz.de/10003488182
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Tractable robust expected utility and risk models for portfolio optimization
Natarajan, Karthik; Sim, Melvyn; Uichanco, Joline - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 695-731
Persistent link: https://www.econbiz.de/10008667625
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Modeling, estimation, and optimization of equity portfolios with heavy-tailed distrbutions
Biglova, Almira; Ortobelli, Sergio; Račev, Svetlozar T.; … - In: Optimizing optimization : the next generation of …, (pp. 117-141). 2010
Persistent link: https://www.econbiz.de/10003939075
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Robust-efficient credibility models with heavy-tailed claims : a mixed linear models perspective
Dornheim, Harald; Brazauskas, Vytaras - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 72-84
Persistent link: https://www.econbiz.de/10008839759
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An efficient and numerically stable method for computing bounds for the interval availability distribution
Carrasco, Juan A. - In: INFORMS journal on computing : JOC 23 (2011) 2, pp. 268-283
Persistent link: https://www.econbiz.de/10009156491
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Robustness to dependency in portfolio optimization using overlapping marginals
Doan, Xuan Vinh; Li, Xiaobo; Natarajan, Karthik - In: Operations research 63 (2015) 6, pp. 1468-1488
Persistent link: https://www.econbiz.de/10011422605
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Optimal EWMA of linear combination of Poisson variables for multivariate statistical process control
Garcia-Bustos, Sandra; Aparisi, Francisco; Epprecht, … - In: International journal of production research 53 (2015) 14, pp. 4141-4159
Persistent link: https://www.econbiz.de/10011302788
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Different probability distributions for portfolio selection in the chance constrained compromise programming model
Boswarva, Ian; Aouni, Belaïd - In: INFOR : information systems and operational research 50 (2012) 3, pp. 140-146
Persistent link: https://www.econbiz.de/10009748814
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Portfolio selection and optimization with higher moments : evidence from the Indian stock market
Saranya, K.; Prasanna, P. Krishna - In: Asia-Pacific financial markets 21 (2014) 2, pp. 133-149
Persistent link: https://www.econbiz.de/10010358431
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On distributional robust probability functions and their computations
Wong, Man Hong; Zhang, Shuzhong - In: European journal of operational research : EJOR 233 (2014) 1, pp. 23-33
Persistent link: https://www.econbiz.de/10010224942