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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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Risk-averse regret minimization in multi-stage stochastic programs
Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - 2021
Persistent link: https://www.econbiz.de/10012939439
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Data-driven optimization with distributionally robust secondorder stochastic dominance constraints
Peng, Chun; Delage, Erick - 2021
Persistent link: https://www.econbiz.de/10012939420
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Multi-stage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set
Postek, Krzysztof Stanisław; Hertog, Dirk den - 2014
Persistent link: https://www.econbiz.de/10011283891
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When are static and adjustable robust optimization with constraint-wise uncertainty equivalent?
Marandi, Ahmadreza; Hertog, Dirk den - 2015 - Preprint
Persistent link: https://www.econbiz.de/10011404410
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Robust optimization for lot-sizing problems under yield uncertainty
Metzker, Paula; Thevenin, Simon; Adulyasak, Yossiri; … - 2021
Persistent link: https://www.econbiz.de/10012667241
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Compact formulations for the robust vehicle routing problem with time windows under demand and travel time uncertainty
Campos, Rafael; Munari, Pedro; Coelho, Leandro C. - 2022
Persistent link: https://www.econbiz.de/10013450749
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Robust control and CAPMs under a quadratic model with inflation-deflation risk
Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de/10014549675
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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