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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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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
Persistent link: https://www.econbiz.de/10011965635
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Technical note: risk-averse regret minimization in multistage stochastic programs
Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - In: Operations research 72 (2024) 4, pp. 1727-1738
Persistent link: https://www.econbiz.de/10015045703
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Optimizing sequential decision-making under risk : strategic allocation with switching penalties
Malekipirbazari, Milad - In: European journal of operational research : EJOR 321 (2025) 1, pp. 160-176
Persistent link: https://www.econbiz.de/10015094944
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A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430
Persistent link: https://www.econbiz.de/10011291285
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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Cash flow management by risk-neutral and risk-averse stochastic approaches
Righetto, Giovanni Margarido; Morabito, Reinaldo; Alem, … - In: Journal of the Operational Research Society 71 (2020) 1, pp. 55-68
Persistent link: https://www.econbiz.de/10012215632
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A robust ordered weighted averaging loss model for portfolio optimization
Benati, Stefano; Sánchez Conde, Eduardo - In: Computers & operations research : an international journal 167 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014566418
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A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty
Sun, Hua; Gao, Ziyou; Szeto, Wai Yuen; Long, Jiancheng; … - In: Networks and spatial economics : a journal of … 14 (2014) 3/4, pp. 409-433
Persistent link: https://www.econbiz.de/10011308772