Similar Search Results

Robust Utility Maximization Under Model Uncertainty via a Penalization Approach

Guo, Ivan; Langrené, Nicolas; Loeper, Gregoire; Ning, Wei - 2020

This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We show that this robust optimization process can be...

Persistent link: https://www.econbiz.de/10014096889

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

Recoverable robust representatives selection problems with discrete budgeted uncertainty

Goerigk, Marc; Lendl, Stefan; Wulf, Lasse - In: European journal of operational research : EJOR 303 (2022) 2, pp. 567-580

Persistent link: https://www.econbiz.de/10013363977

Reverse sensitivity analysis for risk modelling

Pesenti, Silvana M. - In: Risks : open access journal 10 (2022) 7, pp. 1-23

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

Persistent link: https://www.econbiz.de/10013364877

Robust investment strategies with two risky assets

Lin, Qian; Luo, Yulei; Sun, Xianming - In: Journal of economic dynamics & control 134 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013383753

Robust price optimization of multiple products under interval uncertainties

Hamzeei, Mahdi; Lim, Alvin; Xu, Jiefeng - In: Journal of revenue and pricing management 21 (2022) 4, pp. 442-454

Persistent link: https://www.econbiz.de/10013390553

Robust optimization for lot-sizing problems under yield uncertainty

Metzker, Paula; Thevenin, Simon; Adulyasak, Yossiri; … - In: Computers & operations research : and their … 149 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10013460773

Two-Stage robust optimization problems with two-stage uncertainty

Goerigk, Marc; Lendl, Stefan; Wulf, Lasse - In: European journal of operational research : EJOR 302 (2022) 1, pp. 62-78

Persistent link: https://www.econbiz.de/10013267866

ROC++: robust optimization in C++

Vayanos, Phebe; Jin, Qing; Elissaios, George - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 2873-2888

Persistent link: https://www.econbiz.de/10014326305

Comparison of different approaches to multistage lot sizing with uncertain demand

Bindewald, Viktor; Dunke, Fabian; Nickel, Stefan - In: International transactions in operational research : a … 30 (2023) 6, pp. 3771-3800

Persistent link: https://www.econbiz.de/10014328096