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2006, ISBN 0691119155, xii, 448
Optimization is one of the most important areas of modern applied mathematics, with applications in fields from engineering and economics to finance,... 
Nonlinear theories | Mathematical optimization | MATHEMATICS | Applied | Mathematics
Book
2003, Handbooks in operations research and management science, ISBN 0444508546, Volume 10, x, 688
Book
Book Chapter
European Journal of Operational Research, ISSN 0377-2217, 2011, Volume 214, Issue 1, pp. 78 - 84
Journal Article
Mathematics of Operations Research, ISSN 0364-765X, 08/2006, Volume 31, Issue 3, pp. 433 - 452
Journal Article
Operations Research, ISSN 0030-364X, 2/2011, Volume 59, Issue 1, pp. 125 - 132
Journal Article
Mathematical Methods of Operations Research, ISSN 1432-2994, 10/2018, Volume 88, Issue 2, pp. 161 - 184
Journal Article
Journal Article
1985, Springer series in computational mathematics, ISBN 3540127631, Volume 3, viii, 162
Book
Operations Research, ISSN 0030-364X, 11/2002, Volume 50, Issue 6, pp. 956 - 967
In a probabilistic set-covering problem the right-hand side is a random binary vector and the covering constraint has to be satisfied with some prescribed... 
Programming: integer | Programming: stochastic | Integers | Determinism | Optimal solutions | Algorithms | Probability distributions | Heuristics | Prunes | Mathematical vectors | Random variables | Children | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | ALGORITHM | Fuzzy sets | Set theory | Research | Studies | Probability | Operations research | Mathematical models | Methods
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2006, Volume 30, Issue 2, pp. 433 - 451
We consider the problem of constructing a portfolio of finitely many assets whose return rates are described by a discrete joint distribution. We propose a new... 
Portfolio optimization | Stochastic dominance | Risk | Duality | Utility function | Stochastic order | BUSINESS, FINANCE | portfolio optimization | MEAN-RISK MODELS | risk | utility function | ECONOMICS | duality | Stochastic analysis | Usage | Risk management | Portfolio management | Methods | Investment analysis | Analysis | Management science | Studies | Portfolio performance | Stochastic models | Rates of return | Optimization
Journal Article
Mathematical Programming, ISSN 0025-5610, 3/2009, Volume 117, Issue 1, pp. 111 - 127
Journal Article
Mathematical Programming, ISSN 0025-5610, 2018, pp. 1 - 28
For controlled discrete-time stochastic processes we introduce a new class of dynamic risk measures, which we call process-based. Their main feature is that... 
Time consistency | Dynamic programming | Multistage stochastic programming | Dynamic risk measures | Mathematical analysis | Stochastic processes | Discrete time systems | Markov processes | Risk management | Portfolio management
Journal Article
Mathematical Programming, ISSN 0025-5610, 02/2019, pp. 1 - 21
We introduce the concept of a risk form, which is a real functional of two arguments: a measurable function on a Polish space and a measure on that space. We... 
Risk | Representations | Disintegration | Mathematical programming
Journal Article
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