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Distributionally robust convex optimization
Wiesemann, Wolfram; Kuhn, Daniel; Sim, Melvyn - In: Operations research 62 (2014) 6, pp. 1358-1376
Persistent link: https://www.econbiz.de/10010471840
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A minimum expected regret model for the shortest path problem with solution-dependent probability distributions
Conde, Eduardo - In: Computers & operations research : and their … 77 (2017), pp. 11-19
Persistent link: https://www.econbiz.de/10011630908
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Robustness as a criterion for selecting a probability distribution under uncertainty
Songsak Sriboonchitta; Nguyen, Hung T.; Kreinovich, Vladik - In: Robustness in econometrics, (pp. 51-68). 2017
Persistent link: https://www.econbiz.de/10011800927
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Quantifying distributional model risk via optimal transport
Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600
Persistent link: https://www.econbiz.de/10012028635
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Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488
Persistent link: https://www.econbiz.de/10011308984
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An analytic solution for multi-period uncertain portfolio selection problem
Li, Bo; Sun, Yufei; Teo, Kok Lay - In: Fuzzy optimization and decision making : a journal of … 21 (2022) 2, pp. 319-333
Persistent link: https://www.econbiz.de/10013186173
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Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441
Persistent link: https://www.econbiz.de/10010356735
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Application of non-deterministic uncertainty models to improve resource constraint optimal scheduling
Versteyhe, Mark; Debrouwere, Frederik - In: Journal of the Operational Research Society 72 (2021) 7, pp. 1607-1618
Persistent link: https://www.econbiz.de/10012609214
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Robust optimization with order statistic uncertainty set
Zhang, Pengfei; Gupta, Diwakar - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1023-1039
Persistent link: https://www.econbiz.de/10014440197
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Distributionally robust optimization under a decision-dependent ambiguity set with applications to machine scheduling and humanitarian logistics
Noyan, Nilay; Rudolf, Gábor; Lejeune, Miguel - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 2, pp. 729-751
Persistent link: https://www.econbiz.de/10013361345