Ambiguity in risk preferences in robust stochastic optimization
From MaRDI portal
Publication:323319
DOI10.1016/j.ejor.2016.03.016zbMath1346.90638OpenAlexW2328384767MaRDI QIDQ323319
William B. Haskell, Lunce Fu, Maged M. Dessouky
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.03.016
Inequalities; stochastic orderings (60E15) Stochastic programming (90C15) Inventory, storage, reservoirs (90B05) Portfolio theory (91G10)
Related Items (11)
Preference robust models in multivariate utility-based shortfall risk minimization ⋮ Shortfall Risk Models When Information on Loss Function Is Incomplete ⋮ Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ Preference Robust Optimization for Choice Functions on the Space of CDFs ⋮ Preference robust distortion risk measure and its application ⋮ Primal-Dual Algorithms for Optimization with Stochastic Dominance ⋮ Risk measures under model uncertainty: a Bayesian viewpoint ⋮ An equilibrium model of the supply chain network under multi-attribute behaviors analysis ⋮ Statistical robustness in utility preference robust optimization models ⋮ An almost robust model for minimizing disruption exposures in supply systems ⋮ Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Minmax robustness for multi-objective optimization problems
- Optimization with a class of multivariate integral stochastic order constraints
- Robust optimization and portfolio selection: the cost of robustness
- Sample average approximation of stochastic dominance constrained programs
- Market price-based convex risk measures: a distribution-free optimization approach
- Robust portfolio optimization with derivative insurance guarantees
- Robust stochastic dominance and its application to risk-averse optimization
- Stochastic orders
- Newsvendor solutions via conditional value-at-risk minimization
- Decision under risk as a multicriteria problem
- Coherent risk measures in inventory problems
- Optimization with multivariate stochastic dominance constraints
- Semidefinite programming versus the reformulation-linearization technique for nonconvex quadratically constrained quadratic programming
- Single and multi-period optimal inventory control models with risk-averse constraints
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- The newsvendor problem under multiplicative background risk
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- Robust risk management
- Approximation and contamination bounds for probabilistic programs
- Robustness in stochastic programs with risk constraints
- Recent advances in robust optimization: an overview
- The risk-averse newsvendor problem with random capacity
- On distributionally robust chance-constrained linear programs
- Aspects of optimization with stochastic dominance
- A benchmark solution for the risk-averse newsvendor problem
- Robust multiobjective optimization \& applications in portfolio optimization
- A User's Guide to Measure Theoretic Probability
- Robust Approximation to Multiperiod Inventory Management
- A Soft Robust Model for Optimization Under Ambiguity
- Constructing Risk Measures from Uncertainty Sets
- From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
- ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES
- Uncertainties in minimax stochastic programs
- Semi-Infinite Programming: Theory, Methods, and Applications
- TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
- Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
- Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
- Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints
- Ambiguous Risk Measures and Optimal Robust Portfolios
- A Cutting-Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Optimization with Stochastic Dominance Constraints
This page was built for publication: Ambiguity in risk preferences in robust stochastic optimization
