We introduce efficient sets, a class of sets in Rp in which, in each set, no element is greater in all dimensions than any other. Neither differentiability nor continuity is required of such sets, which include: level sets of utility functions, quasi-indifference classes associated with a...

Models and algorithms for risk neutral and risk averse power optimization under uncertainty are presented. The approach differs from previous ones by incorporating the transmission network explicitly. Copyright Springer-Verlag 2009

We consider a linear two-stage stochastic program. Whereas optimization in the traditional setting is based solely on expectation, we include risk measures reflecting dispersions of the random objective. Presenting the mean-risk models, we aim to extend existing results for the expectation-based...

Models and algorithms for risk neutral and risk averse power optimization under uncertainty are presented. The approach differs from previous ones by incorporating the transmission network explicitly. Copyright Springer-Verlag 2009

We consider a linear two-stage stochastic program. Whereas optimization in the traditional setting is based solely on expectation, we include risk measures reflecting dispersions of the random objective. Presenting the mean-risk models, we aim to extend existing results for the expectation-based...

This paper introduces a new approach for measuring vulnerability to poverty, using the standard downside mean-semideviation as a risk parameter. We identify vulnerability by comparing the uncertain outcomes of household well-being with poverty line in a mean-risk behavior framework.

In moments of distress downside risk measures like Lower Partial Moments (LPM) are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to compare portfolios in these situations. In order to do that we show the close connection between...