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Risk-averse multistage stochastic programs with expected conditional risk measures

Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015066893

"Dice"-sion–making under uncertainty : when can a random decision reduce risk?

Delage, Erick; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3282-3301

Persistent link: https://www.econbiz.de/10012039992

Tractable counterparts of distributionally robust constraints on risk measures

Postek, Krzysztof S.; Hertog, Dirk den; Melenberg, Bertrand - 2014

Persistent link: https://www.econbiz.de/10011282869

Computationally tractable counterparts of distributionally robust constraints on risk measures

Postek, Krzysztof Stanisław; Hertog, Dirk den; … - 2015 - Revised version of CentER Discussion Paper No. 2014-031

Persistent link: https://www.econbiz.de/10011348902

Risk-averse two-stage distributionally robust optimisation for logistics planning in disaster relief management

Wang, Duo; Yang, Kai; Yang, Lixing - In: International journal of production research 61 (2023) 2, pp. 668-691

Persistent link: https://www.econbiz.de/10013531038

Risk-based robust statistical learning by stochastic difference-of-convex value-function optimization

Liu, Junyi; Pang, Jong-shi - In: Operations research 71 (2023) 2, pp. 397-414

Persistent link: https://www.econbiz.de/10014308587

Production planning decisions in the broiler chicken supply chain with growth uncertainty

Solano-Blanco, Alfaima L.; González, Jaime E.; … - In: Operations research perspectives 10 (2023), pp. 1-13

Broiler chickens are specially raised for meat production and their supply chain is composed of breeders, hatcheries, feed mills, farms, slaughterhouses, wholesalers, and retailers. The coordination between supply chain players has great potential to streamline production and increase...

Persistent link: https://www.econbiz.de/10014448230

Robustifying convex risk measures for linear portfolios : a nonparametric approach

Wozabal, David - In: Operations research 62 (2014) 6, pp. 1302-1315

Persistent link: https://www.econbiz.de/10010471862

Risk return trade-off in relaxed risk parity portfolio optimization

Gambeta, Vaughn; Kwon, Roy - In: Journal of risk and financial management : JRFM 13 (2020) 10/237, pp. 1-28

This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity condition. This paper …

Persistent link: https://www.econbiz.de/10012387965

Submodularity in conic quadratic mixed 0-1 optimization

Atamtürk, Alper; Gómez, Andrés - In: Operations research 68 (2020) 2, pp. 609-630

Persistent link: https://www.econbiz.de/10012213396