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Robust utility maximization in a stochastic factor model
Hernández-Hernández, Daniel (contributor);  … - 2005
dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general … duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …
Persistent link: https://www.econbiz.de/10003324220
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Robust exponential hedging in a Brownian setting
Owari, Keita - 2009
Persistent link: https://www.econbiz.de/10003939988
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On the power of robust solutions in two-stage stochastic and adaptive optimization problems
Bertsimas, Dimitris; Goyal, Vineet - In: Mathematics of operations research 35 (2010) 2, pp. 284-305
Persistent link: https://www.econbiz.de/10003985683
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Exact robust counterparts of ambiguous stochastic constraints under mean and dispersion information
Postek, Krzysztof Stanisław; Ben-Tal, Aharon; Hertog, … - 2015
Persistent link: https://www.econbiz.de/10011350018
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Robustness in stochastic programs with risk constraints
Dupačová, Jitka; Kopa, Milos - 2012
Persistent link: https://www.econbiz.de/10009688667
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The orienteering problem under uncertainty : stochastic programming and robust optimization compared
Evers, Lanah; Glorie, Kristiaan; Ster, Suzanne van der; … - 2012
Persistent link: https://www.econbiz.de/10009665719
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Robust and stochastically weighted multiobjective optimization models and reformulations
Hu, Jian; Mehrotra, Sanjay - In: Operations research 60 (2012) 4, pp. 936-953
Persistent link: https://www.econbiz.de/10009627412
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An inexact robust optimization method for supporting carbon dioxide emissions management in regional electric-power systems
Chen, C.; Li, Y. P.; Huang, Guo H. - In: Energy economics 40 (2013), pp. 441-456
Persistent link: https://www.econbiz.de/10010351661
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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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On distributionally robust multiperiod stochastic optimization
Analui, Bita; Pflug, Georg - In: Computational Management Science : CMS 11 (2014) 3, pp. 197-220
Persistent link: https://www.econbiz.de/10010385634