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Multistage stochastic decision problems : approximation by recursive structures and ambiguity modeling

Pflug, Georg - In: European journal of operational research : EJOR 306 (2023) 3, pp. 1027-1039

Persistent link: https://www.econbiz.de/10014279689

Solving multiobjective optimization problems with decision uncertainty : an interactive approach

Zhou-Kangs, Yue; Miettinen, Kaisa; Sindhya, Karthik - In: Journal of business economics : JBE 89 (2019) 1, pp. 25-51

Persistent link: https://www.econbiz.de/10011970849

Integrated management of land use systems under systemic risks and security targets : a stochastic global biosphere management model

Ermol'eva, Tatiana Y.; Havlik, Peter; Ermolʹev, Jurij M.; … - In: Journal of agricultural economics 67 (2016) 3, pp. 584-601

Persistent link: https://www.econbiz.de/10011657889

Pareto optimality and robustness in bi-blending problems

Herrera, Juan; Casado, Leocadio; Hendrix, Eligius; … - In: TOP: An Official Journal of the Spanish Society of … 22 (2014) 1, pp. 254-273

The mixture design problem for two products concerns finding simultaneously two recipes of a blending problem with linear, quadratic and semi-continuity constraints. A solution of the blending problem minimizes a linear cost objective and an integer valued objective that keeps track of the...

Persistent link: https://www.econbiz.de/10010995411

Pareto optimality and robustness in bi-blending problems

Herrera, Juan F. R.; Casado, Leocadio G.; Hendrix, … - In: Top : transactions in operations research 22 (2014) 1, pp. 254-273

Persistent link: https://www.econbiz.de/10010347800

Robust solutions of quadratic optimization over single quadratic constraint under interval uncertainty

Jeyakumar, V.; Li, G. - In: Journal of Global Optimization 55 (2013) 2, pp. 209-226

least squares. Using homogenization, we also derive characterizations of robust solutions for non-homogeneous quadratic … for quadratic inequality systems under parameter uncertainty. Consequently, we obtain characterizations of robust … solutions for uncertain homogeneous quadratic problems, including uncertain concave quadratic minimization problems and weighted …

Persistent link: https://www.econbiz.de/10010634256

Portfolio optimization in a defaultable market under incomplete information

Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, … - In: Decisions in Economics and Finance 35 (2012) 2, pp. 91-111

We consider the problem of maximization of expected utility from terminal wealth in a market model that is driven by a possibly not fully observable factor process and that takes explicitly into account the possibility of default for the individual assets as well as contagion (direct and...

Persistent link: https://www.econbiz.de/10010845571