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Data-driven optimization with distributionally robust secondorder stochastic dominance constraints

Peng, Chun; Delage, Erick - 2021

Persistent link: https://www.econbiz.de/10012939420

Robustness Analysis in Decision Aiding, Optimization, and Analytics

Doumpos, Michael (ed.); Zopounidis, Constantin (ed.); … - 2016

SMAA in Robustness Analysis -- Data-driven Robustness Analysis for Multicriteria Classification Problems Using …This book provides a broad coverage of the recent advances in robustness analysis in decision aiding, optimization, and … analytics. It offers a comprehensive illustration of the challenges that robustness raises in different operations research and …

Persistent link: https://www.econbiz.de/10012397999

Relatively Robust Decisions

Weber, Thomas A. - 2022

-form solutions. We illustrate our results in an application which compares the performance of relative robustness to solutions that …

Persistent link: https://www.econbiz.de/10013308838

Robust investment for insurers with correlation ambiguity

Cheng, Bingqian; Wang, Hao; Zhang, Lihong - In: The quarterly review of economics and finance 93 (2024), pp. 247-257

Persistent link: https://www.econbiz.de/10014494647

ROC++: robust optimization in C++

Vayanos, Phebe; Jin, Qing; Elissaios, George - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 2873-2888

Persistent link: https://www.econbiz.de/10014326305

Robust Markov decision processes : beyond rectangularity

Goyal, Vineet; Grand-Clément, Julien - In: Mathematics of operations research 48 (2023) 1, pp. 203-226

Persistent link: https://www.econbiz.de/10014312545

On the Relation between Robust and Bayesian Decision Making

Adam, Klaus - 2004

independent from whether the preference for robustness is global or restricted to local perturbations around some reference model …

Persistent link: https://www.econbiz.de/10014093517

Robust Decision Theory and Econometrics

Chamberlain, Gary - 2020

This review uses the empirical analysis of portfolio choice to illustrate econometric issues that arise in decision problems. Subjective expected utility (SEU) can provide normative guidance to an investor making a portfolio choice. The investor, however, may have doubts on the specification of...

Persistent link: https://www.econbiz.de/10014094675

Adjustable distributionally robust optimization with infinitely constrained ambiguity sets

Ruan, Haolin; Chen, Zhi; Ho, Chin Pang - In: INFORMS journal on computing : JOC ; charting new … 35 (2023) 5, pp. 1002-1023

Persistent link: https://www.econbiz.de/10014422731

Robust decision-making under risk and ambiguity

Blesch, Maximilian; Eisenhauer, Philipp - 2023

Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model’s implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision problem to misspecification, and ultimately leads to...

Persistent link: https://www.econbiz.de/10014487318