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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

Kantian Optimization With Quasi-hyperbolic Discounting

Borissov, Kirill; Pakhnin, Mikhail; Wendner, Ronald - 2022

We consider a neoclassical growth model with quasi-hyperbolic discounting under Kantian optimization: each temporal self acts in a way that they would like every future self to act. We introduce the notion of a Kantian policy as an outcome of Kantian optimization in a given class of policies. We...

Persistent link: https://www.econbiz.de/10014082673

Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures

Mastrogiacomo, Elisa - 2014

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

Persistent link: https://www.econbiz.de/10013060083

Robust Risk Budgeting Algorithms in R

Bouzida, Farah - 2019

In this paper we reviewed some numerical algorithms, implemented in R language which solve the Risk Budgeting (RB … Cyclical Coordinate Descent (CCD) algorithm proposed by Griveau et.al. (2013) which suits well for risk budgeting on a large … Algorithm” is the most robust framework to implement risk-budgeting portfolios for any type of investment universe …

Persistent link: https://www.econbiz.de/10012862959

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

Optimal retirement choice under age-dependent force of mortality

Ferrari, Giorgio; Zhu, Shihao - 2023

This paper examines the retirement decision, optimal investment, and consumption strategies under an age-dependent force of mortality. We formulate the optimization problem as a combined stochastic control and optimal stopping problem with a random time horizon, featuring three state variables:...

Persistent link: https://www.econbiz.de/10014433470

Procurement strategy with credit risk

Wang, Hsiao-fan; Su, Ray - In: International journal of operations and quantitative … 19 (2013) 3, pp. 179-200

Persistent link: https://www.econbiz.de/10010253593

An almost robust model for minimizing disruption exposures in supply systems

Zhao, Kena; Ng, Tsan Sheng Adam; Tan, Chin Hon; Pang, … - In: European journal of operational research : EJOR 295 (2021) 2, pp. 547-559

Persistent link: https://www.econbiz.de/10013205967

Stochastic optimization for investment in facilities in emergency prevention

Hu, Shao-Long; Han, Chuan-Feng; Meng, Ling-Peng - In: Transportation research / E : an international journal 89 (2016), pp. 14-31

Persistent link: https://www.econbiz.de/10011494144

A stochastic prepositioning model for distribution of disaster supplies considering lateral transshipment

Wang, Yusheng; Dong, Zhijie; Hu, Shaolong - In: Socio-economic planning sciences : the international … 74 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012502345