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Self-guided approximate linear programs : randomized multi-shot approximation of discounted cost Markov decision processes
Pakiman, Parshan; Nadarajah, Selvaprabu; Soheili, Negar; … - In: Management science : journal of the Institute for … 71 (2025) 4, pp. 3384-3404
Persistent link: https://www.econbiz.de/10015413780
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Building up time-consistency for risk measures and dynamic optimizatio
De Lara, Michel; Leclère, Vincent - In: European journal of operational research : EJOR 249 (2016) 1, pp. 177-187
Persistent link: https://www.econbiz.de/10011435779
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The stochastic Mitra-Wan forestry model : risk neutral and risk averse cases
Piazza, Adriana; Pagnoncelli, Bernardo K. - In: Journal of economics 115 (2015) 2, pp. 175-194
Persistent link: https://www.econbiz.de/10010532443
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Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios
Li Yang; Chen, Zhiping; Hu, Qianhui - In: China finance review international 4 (2014) 4, pp. 360-384
Persistent link: https://www.econbiz.de/10011339001
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Monotone trends in inventory-price control under time-consistent coherent risk measure
Yang, Jian - In: Operations research letters 45 (2017) 3, pp. 293-299
Persistent link: https://www.econbiz.de/10011719352
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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
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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
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A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430
Persistent link: https://www.econbiz.de/10011291285
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f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
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Analysis of risk measures in multiobjective optimization portfolios with cardinality constraint
Cardoso, Rodrigo T. N.; Barroso, Bruno Cândido; … - In: Revista Brasileira de Finanças : RBFin 17 (2019) 3, pp. 26-46
Persistent link: https://www.econbiz.de/10012221265