Search Results - subject:"minmax"

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Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance

Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326

Persistent link: https://www.econbiz.de/10015047732

Managing persuasion robustly: the optimality of quota rules

Bergemann, Dirk; Gan, Tan; Li, Yingkai - 2023

Persistent link: https://www.econbiz.de/10014391848

A fix-and-optimize heuristic for the minmax regret shortest path arborescence problem under interval uncertainty

Carvalho, Iago A.; Noronha, Thiago F.; Duhamel, Christophe - In: International transactions in operational research : a … 30 (2023) 2, pp. 1120-1143

Persistent link: https://www.econbiz.de/10013417135

Public health efficiency and well-being in Italian province

Yebetchou Tchounkeu, Rostand Arland - 2023

Persistent link: https://www.econbiz.de/10014253237

The Lagrangian, constraint qualifications and economics

Flåm, Sjur D.; Rückmann, Jan-J. - In: Mathematical methods of operations research : ZOR 96 (2022) 2, pp. 215-232

Persistent link: https://www.econbiz.de/10013455008

An iterated dual substitution approach for binary integer programming problems under the min-max regret criterion

Wu, Wei; Iori, Manuel; Martello, Silvano; Yagiura, Mutsunori - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 5, pp. 2523-2539

Persistent link: https://www.econbiz.de/10014325512

A Wasserstein index of dependence for random measures

Catalano, Marta; Lavenant, Hugo; Lijoi, Antonio; … - 2021

Persistent link: https://www.econbiz.de/10013329504

Portfolio optimization of credit risky bonds: A semi-Markov process approach

Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial Innovation 6 (2020) 1, pp. 1-14

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on lÉ-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...

Persistent link: https://www.econbiz.de/10012602859

Portfolio optimization of credit risky bonds : a semi-Markov process approach

Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial innovation : FIN 6 (2020) 25, pp. 1-14

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on l∞-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...

Persistent link: https://www.econbiz.de/10012268914

The amplification of the New Keynesian models and robust optimal monetary policy

Özcan, Gülserim - In: Quantitative finance and economics 4 (2020) 1, pp. 36-65

Persistent link: https://www.econbiz.de/10012176723