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An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management

Escudero, Laureano F.; Monge, Juan Francisco; Romero … - In: Computers & operations research : and their … 58 (2015), pp. 32-40

Persistent link: https://www.econbiz.de/10010509424

Consumption Investment Optimization with Epstein-Zin Utility in Incomplete Markets

Xing, Hao - 2015

with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and … backward stochastic differential equations. The supperdifferential of indirect utility is also obtained, meeting demands from … applications in which Epstein-Zin utilities were used to resolve several asset pricing puzzles. The empirically relevant utility …

Persistent link: https://www.econbiz.de/10013030017

Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity

Carassus, Laurence; Wiesel, Johannes - In: Finance and stochastics 29 (2025) 2, pp. 519-551

Persistent link: https://www.econbiz.de/10015394809

A bilevel model for robust network design and biomass pricing under farmers' risk attitudes and supply uncertainty

Li, Qiaofeng; Üster, Halit; Zhang, Zhi-Hai - In: Transportation science 57 (2023) 5, pp. 1296-1320

Persistent link: https://www.econbiz.de/10014393358

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

Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty

Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989

Persistent link: https://www.econbiz.de/10011445359

Epi-regularization of risk measures

Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795

Persistent link: https://www.econbiz.de/10012242555

Ambiguity in risk preferences in robust stochastic optimization

Haskell, William B.; Fu, Lunce; Dessouky, Maged - In: European journal of operational research : EJOR 254 (2016) 1, pp. 214-225

Persistent link: https://www.econbiz.de/10011503281

Global Optimization on an Interval

Weber, Thomas A. - 2017

This paper provides expressions for solutions of a one-dimensional global optimization problem using an adjoint variable which represents the available one-sided improvements up to the interval “horizon.” Interpreting the problem in terms of optimal stopping or optimal starting, the solution...

Persistent link: https://www.econbiz.de/10012970196

Production and inventory planning under decreasing absolute risk aversion : a unified approach for sensitivity analysis

Seshadri, Sridhar; Wu, Qi - In: Risk and decision analysis 5 (2014) 1, pp. 63-73

Persistent link: https://www.econbiz.de/10010492581