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Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
Miller, Naomi; Ruszczyński, Andrzej - In: European journal of operational research : EJOR 191 (2008) 1, pp. 191-204
Persistent link: https://www.econbiz.de/10008052156
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A risk-averse newsvendor with law invariant coherent measures of risk
Choi, Sungyong; Ruszczyński, Andrzej - In: Operations research letters 36 (2008) 1, pp. 77-82
Persistent link: https://www.econbiz.de/10007896710
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Tractable Almost Stochastic Dominance
Lizyayev, Andrey; Ruszczyński, Andrzej - In: European journal of operational research : EJOR 218 (2012) 2, pp. 448-456
Persistent link: https://www.econbiz.de/10009818548
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A multi-product risk-averse newsvendor with exponential utility function
Choi, Sungyong; Ruszczyński, Andrzej - In: European journal of operational research : EJOR 214 (2011) 1, pp. 78-85
Persistent link: https://www.econbiz.de/10009133504
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Stochastic modeling and optimization (in honor of András Prékopa’s 80th birthday)
Dentcheva, Darinka; Ruszczyński, Andrzej; Szántai, Tamás - 2012
Persistent link: https://www.econbiz.de/10010030777
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Scenario decomposition of risk-averse multistage stochastic programming problems
Collado, Ricardo A.; Papp, Dávid; Ruszczyński, Andrzej - 2012
Persistent link: https://www.econbiz.de/10010030787
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Kusuoka representation of higher order dual risk measures
Dentcheva, Darinka; Penev, Spiridon; Ruszczyński, Andrzej - 2010
Persistent link: https://www.econbiz.de/10008733827