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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

Identifying risk-averse low-diameter clusters in graphs with stochastic vertex weights

Rysz, Maciej; Mahdavi Pajouh, Foad; Krokhmal, Pavlo; … - In: Risk management approaches in engineering applications, (pp. 89-108). 2018

Persistent link: https://www.econbiz.de/10011870000

CVaR (superquantile) norm : stochastic case

Mafusalov, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 249 (2016) 1, pp. 200-208

Persistent link: https://www.econbiz.de/10011435796

Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

Persistent link: https://www.econbiz.de/10011543019

Probabilistic constrained optimization : methodology and applications

Uryasev, Stan (ed.) - 2000

Persistent link: https://www.econbiz.de/10001510446

Risk-return optimization with different risk-aggregation strategies

Uryasev, Stan; Theiler, Ursula A.; Serraino, Gaia - In: Journal of risk finance : the convergence of financial … 11 (2010) 2, pp. 129-146

Persistent link: https://www.econbiz.de/10003953347