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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
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Robust assortment optimization under sequential product unavailability
Mehrani, Saharnaz; Sefair, Jorge A. - In: European journal of operational research : EJOR 303 (2022) 3, pp. 1027-1043
Persistent link: https://www.econbiz.de/10013366178
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Robust assortment optimization using worst-case CVaR under the multinomial logit model
Li, Xiaolong; Ke, Jiannan - In: Operations research letters 47 (2019) 5, pp. 452-457
Persistent link: https://www.econbiz.de/10012110613
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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
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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
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Robust portfolio optimization with Value-at-Risk-adjusted Sharpe
Deng, Geng; Dulaney, Tim; McCann, Craig; Wang, Olivia - In: The journal of asset management 14 (2013) 5, pp. 293-305
Persistent link: https://www.econbiz.de/10010237942
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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
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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...
Persistent link: https://www.econbiz.de/10012387965
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Robust Hazmat network design problems considering risk uncertainty
Sun, Longsheng; Karwan, Mark H.; Kwon, Changhyun - In: Transportation science : a journal of the Institute for … 50 (2016) 4, pp. 1188-1203
Persistent link: https://www.econbiz.de/10011617693
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Technical note: risk-averse regret minimization in multistage stochastic programs
Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - In: Operations research 72 (2024) 4, pp. 1727-1738
Persistent link: https://www.econbiz.de/10015045703