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Second-order stochastic dominance constrained portfolio optimization : theory and computational tests
Kallio, Markku; Hardoroudi, Nasim Dehghan - In: European journal of operational research : EJOR 264 (2018) 2, pp. 675-685
Persistent link: https://www.econbiz.de/10011801909
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Robust decision making using a general utility set
Hu, Jian; Bansal, Manish; Mehrotra, Sanjay - In: European journal of operational research : EJOR 269 (2018) 2, pp. 699-714
Persistent link: https://www.econbiz.de/10011864436
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Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
Mahmutoğulları, Ali İrfan; Çavuş, Özlem; Aktürk, … - In: European journal of operational research : EJOR 266 (2018) 2, pp. 595-608
Persistent link: https://www.econbiz.de/10011811837
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Expected shortfall : heuristics and certificates
Ramponi, Federico Alessandro; Campi, Marco C. - In: European journal of operational research : EJOR 267 (2018) 3, pp. 1003-1013
Persistent link: https://www.econbiz.de/10011812858
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Currency hedging for a multi-national firm
Kallio, Markku; Koivu, Matti; Wang, Rudan - In: Handbook of recent advances in commodity and financial …, (pp. 297-320). 2018
Persistent link: https://www.econbiz.de/10011898659
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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
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A linear stochastic programming model for optimal leveraged portfolio selection
Valladão, Davi Michel; Veiga, Alvaro; Street, Alexandre - In: Computational economics 51 (2018) 4, pp. 1021-1032
Persistent link: https://www.econbiz.de/10011972212
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Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay; Rudolf, Gábor - In: Operations research 66 (2018) 2, pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
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Stochastic optimization for investment in facilities in emergency prevention
Hu, Shao-Long; Han, Chuan-Feng; Meng, Ling-Peng - In: Transportation research / E : an international journal 89 (2016), pp. 14-31
Persistent link: https://www.econbiz.de/10011494144
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A clustering approach for scenario tree reduction : an application to a stochastic programming portfolio optimization problem
Beraldi, Patrizia; Bruni, Maria Elena - In: Top : an official journal of the Spanish Society of … 22 (2014) 3, pp. 934-949
Persistent link: https://www.econbiz.de/10010437107