SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Polyhedral Risk Measures in Stochastic Programming
16 references·12 citing·28 second hop
Polyhedral Risk Measures in Stochastic Programming (2005)Polyhedral Risk Measures in Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingOptimization of Convex Risk Functions (2006)Optimization of Convex Risk F…Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Coherent multiperiod risk adj…Dynamic coherent risk measures (2004)Dynamic coherent risk measuresStochastic Programming Models (2003)Stochastic Programming ModelsStochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…Dual Stochastic Dominance and Related Mean-Risk Models (2002)Dual Stochastic Dominance and…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…On law invariant coherent risk measures (2001)On law invariant coherent ris…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)From stochastic dominance to …Coherent Measures of Risk (1999)Coherent Measures of RiskStochastic Programs with Fixed Recourse: The Equivalent Deterministic Program (1974)Stochastic Programs with Fixe…Stochastic OD demand estimation using stochastic programming (2024)Stochastic OD demand estimati…Robust two-stage stochastic linear optimization with risk aversion (2016)Robust two-stage stochastic l…Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs (2016)Convergence Analysis of Sampl…Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective (2015)Risk aversion in multistage s…Evaluating policies in risk-averse multi-stage stochastic programming (2014)Evaluating policies in risk-a…Worst-Case-Expectation Approach to Optimization Under Uncertainty (2013)Worst-Case-Expectation Approa…Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures (2012)Sampling-Based Decomposition …Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition (2010)Risk-Averse Two-Stage Stochas…Robust Preferences and Robust Portfolio Choice (2009)Robust Preferences and Robust…Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse (2008)Stochastic Programs with Firs…Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs (2007)Stability of $\varepsilon$-ap…Risk Measures and Robust Optimization Problems (2006)Risk Measures and Robust Opti…Optimization of conditional value-at-risk (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)Cores of convex games (1971)Modelling Extremal Events (1997)Putting order in risk measures (2002)Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Risk-averse two-stage stochastic programming with an application to disaster management (2011)American Economic Review (2019)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Optimization under uncertainty: state-of-the-art and opportunities (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Expected shortfall and beyond (2002)Higher order elicitability and Osband’s principle (2016)Frameworks and Results in Distributionally Robust Optimization (2022)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2010Stochastic Programming2,228 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2001On law invariant coherent risk measures676 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 2003Stochastic Programming Models453 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2004Dynamic coherent risk measures400 cited
  • 2002Risk Management: Value at Risk and Beyond338 cited
  • 1974Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

305 cited

Cited by

  • 2015Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective103 cited
  • 2014Evaluating policies in risk-averse multi-stage stochastic programming89 cited
  • 2009Robust Preferences and Robust Portfolio Choice84 cited
  • 2010Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition79 cited
  • 2008Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse74 cited
  • 2012Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures70 cited
  • 2006Risk Measures and Robust Optimization Problems66 cited
  • 2016Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs52 cited
  • 2013Worst-Case-Expectation Approach to Optimization Under Uncertainty46 cited
  • 2007Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs41 cited
  • 2016Robust two-stage stochastic linear optimization with risk aversion39 cited
  • 2024Stochastic OD demand estimation using stochastic programming8 cited