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Robust assortment optimization using worst-case CVaR under the multinomial logit model
Li, Xiaolong; Ke, Jiannan - In: Operations research letters 47 (2019) 5, pp. 452-457
Persistent link: https://www.econbiz.de/10012110613
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A closed-form solution of the Black-Litterman model with conditional value at risk
Pang, Tao; Karan, Cagatay - In: Operations research letters 46 (2018) 1, pp. 103-108
Persistent link: https://www.econbiz.de/10011807965
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Vector-valued multivariate conditional value-at-risk
Meraklı, Merve; Küçükyavuz, Simge - In: Operations research letters 46 (2018) 3, pp. 300-305
Persistent link: https://www.econbiz.de/10011873363
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A trade execution model under a composite dynamic coherent risk measure
Lin, Qihang; Chen, Xi; Peña, Javier - In: Operations research letters 43 (2015) 1, pp. 52-58
Persistent link: https://www.econbiz.de/10010486353
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Risk averse submodular utility maximization
Maehara, Takanori - In: Operations research letters 43 (2015) 5, pp. 526-529
Persistent link: https://www.econbiz.de/10011386462
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Sample average approximation of expected value constrained stochastic programs
Wang, Wei; Ahmed, Shabbir - In: Operations research letters 36 (2008) 5, pp. 515-519
Persistent link: https://www.econbiz.de/10003786740
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Polymatroids and mean-risk minimization in discrete optimization
Atamtürk, Alper; Narayanan, Vishnu - In: Operations research letters 36 (2008) 5, pp. 618-622
Persistent link: https://www.econbiz.de/10003786795
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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun, Lihua; Hong, L. Jeff - In: Operations research letters 38 (2010) 4, pp. 246-251
Persistent link: https://www.econbiz.de/10003984224
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Market price-based convex risk measures : a distribution-free optimization approach
Li, Jonathan Y.; Kwon, Roy H. - In: Operations research letters 40 (2012) 2, pp. 128-133
Persistent link: https://www.econbiz.de/10009507888
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Conditional value-at-risk in portfolio optimization : coherent but fragile
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-yi - In: Operations research letters 39 (2011) 3, pp. 163-171
Persistent link: https://www.econbiz.de/10009160241