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Portfolio optimization with risk control by stochastic dominance constraints
Dentcheva, Darinka; Ruszczyński, Andrzej P. - In: Stochastic programming : the state of the art ; in …, (pp. 189-211). 2011
Persistent link: https://www.econbiz.de/10008798656
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Two-stage portfolio optimization with higher-order conditional measures of risk
Gülten, Sıtkı; Ruszczyński, Andrzej P. - 2015
Persistent link: https://www.econbiz.de/10011284408
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Computational methods for risk-averse undiscounted transient Markov models
Çavuş, Özlem; Ruszczyński, Andrzej P. - In: Operations research 62 (2014) 2, pp. 401-417
Persistent link: https://www.econbiz.de/10010361418
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Kusuoka representation of higher order dual risk measures
Dentcheva, Darinka; Penev, Spiridon; Ruszczyński, … - 2010
Persistent link: https://www.econbiz.de/10008760335
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A risk measure for income processes
Pflug, Georg Ch.; Ruszczyński, Andrzej - In: Risk measures for the 21st century, (pp. 249-269). 2004
Persistent link: https://www.econbiz.de/10002081543
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Portfolio optimization with stochastic dominance constraints
Dentcheva, Darinka; Ruszczyński, Andrzej P. - In: Journal of banking & finance 30 (2006) 2, pp. 433-451
Persistent link: https://www.econbiz.de/10003291283
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Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Bielecki, Tomasz R.; Cialenco, Igor; Ruszczyński, … - In: Mathematical methods of operations research : ZOR 98 (2023) 2, pp. 231-268
Persistent link: https://www.econbiz.de/10014423851