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The single-period inventory model with spectral risk measures
Fichtinger, Johannes - 2010
Persistent link: https://www.econbiz.de/10008810029
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Risk-averse two-stage stochastic programming for the inventory rebalancing of bike-sharing systems
Walker, Awnalisa; Kwon, Soongeol - In: International transactions in operational research : a … 31 (2024) 2, pp. 749-779
Persistent link: https://www.econbiz.de/10014441122
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On the comparison of risk-neutral and risk-averse newsvendor problems
Katariya, Abhilasha Prakash; Çetinkaya, Sıla; Tekin, Eylem - In: Journal of the Operational Research Society : OR 65 (2014) 7, pp. 1090-1107
Persistent link: https://www.econbiz.de/10010376605
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Robust inventory decision under distribution uncertainty : a CVaR-based optimization approach
Qiu, Ruozhen; Shang, Jennifer; Huang, Xiaoyuan - In: International journal of production economics 153 (2014), pp. 13-23
Persistent link: https://www.econbiz.de/10010385274
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Value of inventory pooling with limited demand information and risk aversion
Xue, Weili; Ma, Lijun; Liu, Yanchu; Lin, Meiyan - In: Decision sciences 53 (2022) 1, pp. 51-83
Persistent link: https://www.econbiz.de/10013164965
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Replenishment decisions for complementary components with supply capacity uncertainty under the CVaR criterion
Li, Yanhai; Ou, Jinwen - In: European journal of operational research : EJOR 297 (2022) 3, pp. 904-916
Persistent link: https://www.econbiz.de/10013261784
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Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...
Persistent link: https://www.econbiz.de/10011543019
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Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility
Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753
Persistent link: https://www.econbiz.de/10012132469
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Robust two-stage stochastic linear optimization with risk aversion
Ling, Aifan; Sun, Jie; Xiu, Naihua; Yang, Xiaoguang - In: European journal of operational research : EJOR 256 (2017) 1, pp. 215-229
Persistent link: https://www.econbiz.de/10011611260
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - In: Energy economics 79 (2019), pp. 111-129
Persistent link: https://www.econbiz.de/10012172264