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Portfolio Optimization with DARA Stochastic Dominance Constraints

Kopa, Milos - 2018

benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data … the performance of Mean-Variance optimization by tens to hundreds of basis points per annum, for low to medium risk levels …. The improvements critically depend on imposing the complex condition of Decreasing Absolute Risk Aversion in addition to …

Persistent link: https://www.econbiz.de/10012932280

Regime shifts and uncertainty in pollution control

Zeeuw, Aart de; Zemel, Amos - 2012

We develop a simple model of managing a system subject to pollution damage under risk of an abrupt and random jump in …

Persistent link: https://www.econbiz.de/10009489041

Regime Shifts and Uncertainty in Pollution Control

Zeeuw, Aart de; Zemel, Amos - 2021

We develop a simple model of managing a system subject to pollution damage under risk of an abrupt and random jump in …

Persistent link: https://www.econbiz.de/10013315940

Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty

Alkhaleel, Basem A.; Liao, Haitao; Sullivan, Kelly M. - In: European journal of operational research : EJOR 296 (2022) 1, pp. 174-202

Persistent link: https://www.econbiz.de/10012820155

A risk-averse stochastic optimization model for community resilience planning

Faiz, Tasnim Ibn; Harrison, Kenneth W. - In: Socio-economic planning sciences : the international … 92 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014529150

A two-stage chance constrained stochastic programming model for emergency supply distribution considering dynamic uncertainty

Meng, Lingpeng; Wang, Xudong; He, Junliang; Han, Chuanfeng - In: Transportation research / E : an international journal 179 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014487482

A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems

Cai, Yongyang; Kenneth, L. Judd, - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 651-687

We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state...

Persistent link: https://www.econbiz.de/10014308586

Chapter 8. Advances in Numerical Dynamic Programming and New Applications

Cai, Yongyang; Judd, Kenneth L. - In: Handbook of computational economics : volume 3, (pp. 479-516). 2014

Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal economic growth are typical examples. Numerical methods typically approximate the value function. Recent work has focused on making numerical methods more...

Persistent link: https://www.econbiz.de/10014025714

On an irreversible investment problem with two-factor uncertainty

Dammann, Felix; Ferrari, Giorgio - 2021

We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow two independent geometric Brownian motions. After...

Persistent link: https://www.econbiz.de/10012488060

A Knightian irreversible investment problem

Ferrari, Giorgio; Li, Hanwu; Riedel, Frank - 2020

- where risk is driven by a geometric Brownian motion and Knightian uncertainty is realized through a so-called "k …

Persistent link: https://www.econbiz.de/10012198652