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Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-19
Persistent link: https://www.econbiz.de/10009672606
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Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
Lizyayev, Andrey - 2012
Persistent link: https://www.econbiz.de/10009581378
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Post-decision states and separable approximations are powerful tools of approximate dynamic programming
Ruszczyński, Andrzej P. - In: INFORMS journal on computing : JOC 22 (2010) 1, pp. 20-22
Persistent link: https://www.econbiz.de/10003962621
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Finding normalized equilibrium in convex-concave games
Flåm, Sjur D.; Ruszczyński, Andrzej P. - In: International game theory review 10 (2008) 1, pp. 37-51
Persistent link: https://www.econbiz.de/10003756889
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A risk-averse newsvendor with law invariant coherent measures of risk
Choi, Sungyong; Ruszczyński, Andrzej P. - In: Operations research letters 36 (2008) 1, pp. 77-82
Persistent link: https://www.econbiz.de/10003768526
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The languages of stochastic optimization
Powell, Warren B. - In: INFORMS journal on computing : JOC 22 (2010) 1, pp. 23-25
Persistent link: https://www.econbiz.de/10003962626
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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 multi-product risk-averse newsvendor with exponential utility function
Choi, Sungyong; Ruszczyński, Andrzej P. - In: European journal of operational research : EJOR 214 (2011) 1, pp. 78-84
Persistent link: https://www.econbiz.de/10009238174
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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