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Probabilistic constrained optimization : methodology and applications

Uryasev, Stan (ed.) - 2000

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Stochastic comparison of parallel systems with log-Lindley distributed components

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Novel approaches for portfolio construction using second order stochastic dominance

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Portfolio choice algorithms, including exact stochastic dominance

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

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Stochastic ordering of stationary distributions of linear recurrences : further results and economic applications

Di Pietro, Christian; Pietroluongo, Mariafortuna; … - In: Economies : open access journal 11 (2023) 4, pp. 1-10

We investigate pairwise stochastic comparisons of stationary solutions to the linear recurrence 𝑋𝑡+1=𝐴𝑡𝑋𝑡+𝐵𝑡 , where 𝐴𝑡 and 𝐵𝑡 are non-negative random variables. We establish novel order-preserving properties, which enable us to obtain comparison theorems...

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Quantifying distributional model risk via optimal transport

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Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming

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Asymptotics of multivariate conditional risk measures for Gaussian risks

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A study of data-driven distributionally robust optimization with incomplete joint data under finite support

Ren, Ke; Bidkhori, Hoda - In: European journal of operational research : EJOR 305 (2023) 2, pp. 754-765

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M/G/∞ with exponentially distributed setup times

Haji, Babak; Ross, Sheldon M. - In: Operations research letters 43 (2015) 1, pp. 26-28

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