The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

The goal programming (GP) is a well-known approach applied to multi-criteria decision making (M-DM). It has been used … analogies between M-DM under certainty and scenario-based one-criterion decision making under uncertainty (1-DMU) have not been … hybrids for 1-DMU are formulated. They differ from each other in terms of the type of the decision maker considered (pessimist …

parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for … portfolio stability, variance and risk-adjusted returns. Empirically, we compare the out-of-sample performance of the robust …

requirement of rich expertise in financial risk. Compared with other black-box algorithms, the explainable CBR system allows a … predicting financial risk, which is essential for both financial companies and their customers. In addition, results show that …

conceivable objective. Minimizing the tardiness in customer demand satisfaction is no less important. Furthermore, the decision … multi-objective model formulation and decision-making framework of the stochastic capacitated lot sizing problem (MOSCLSP … systematically takes prior demand realization information into account. In multiple decision stages, periodic re-optimizations are …

decision in each stage is a function of the information accumulated from the previous periods on the values of the uncertain …