Search Results - subject:"Contamination technique"

Robustness of optimal portfolios under risk and stochastic dominance constraints

Dupačová, Jitka; Kopa, Miloš - In: European Journal of Operational Research 234 (2014) 2, pp. 434-441

perturbations of input data for static risk constrained portfolio optimization problems by means of the contamination technique … structure of the problem and for discrete distributions we shall exploit the contamination technique to derive a new robust …

Persistent link: https://www.econbiz.de/10011052575

Robustness of optimal portfolios under risk and stochastic dominance constraints

Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441

Persistent link: https://www.econbiz.de/10010356735

Postoptimality for mean-risk stochastic mixed-integer programs and its application

Chen, Zhiping; Zhang, Feng; Yang, Li - In: Computational Statistics 74 (2011) 3, pp. 445-465

stochastic (integer) programming models. In order to derive theoretical results in a numerically tractable way, the contamination … technique is adopted in this paper for the postoptimality analysis of the mean-risk models with respect to changes in the …

Persistent link: https://www.econbiz.de/10010847589

Postoptimality for mean-risk stochastic mixed-integer programs and its application

Chen, Zhiping; Zhang, Feng; Yang, Li - In: Mathematical Methods of Operations Research 74 (2011) 3, pp. 445-465

Persistent link: https://www.econbiz.de/10010950021