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Probabilistic constrained optimization : methodology and applications

Uryasev, Stan (ed.) - 2000

Persistent link: https://www.econbiz.de/10001510446

A new general-purpose method for the computation of the interval availability distribution

Carrasco, Juan A. - In: INFORMS journal on computing : JOC 25 (2013) 4, pp. 774-791

Persistent link: https://www.econbiz.de/10010203575

Different probability distributions for portfolio selection in the chance constrained compromise programming model

Boswarva, Ian; Aouni, Belaïd - In: INFOR : information systems and operational research 50 (2012) 3, pp. 140-146

Persistent link: https://www.econbiz.de/10009748814

Distributionally robust convex optimization

Wiesemann, Wolfram; Kuhn, Daniel; Sim, Melvyn - In: Operations research 62 (2014) 6, pp. 1358-1376

Persistent link: https://www.econbiz.de/10010471840

A logistic approximation to the cumulative normal distribution

Bowling, Shannon R.; Khasawneh, Mohammad T.; Sittichai … - In: Journal of industrial engineering and management : JIEM 2 (2009) 1, pp. 114-127

This paper develops a logistic approximation to the cumulative normal distribution. Although the literature contains a vast collection of approximate functions for the normal distribution, they are very complicated, not very accurate, or valid for only a limited range. This paper proposes an...

Persistent link: https://www.econbiz.de/10011898596

Stochastic comparison of parallel systems with log-Lindley distributed components

Chowdhury, Shovan; Kundu, Amarjit - In: Operations research letters 45 (2017) 3, pp. 199-205

Persistent link: https://www.econbiz.de/10011719275

Robustness as a criterion for selecting a probability distribution under uncertainty

Songsak Sriboonchitta; Nguyen, Hung T.; Kreinovich, Vladik - In: Robustness in econometrics, (pp. 51-68). 2017

Persistent link: https://www.econbiz.de/10011800927

Novel approaches for portfolio construction using second order stochastic dominance

Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10011710779

Portfolio choice algorithms, including exact stochastic dominance

Vinod, Hrishikesh D. - In: Journal of financial stability 70 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014490457

Quantifying distributional model risk via optimal transport

Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600

Persistent link: https://www.econbiz.de/10012028635