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Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty
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Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty (2000)Decreasing the sensitivity of open-loop o…Theory of games and economic behavior (2019)Theory of games and economic …Stochastic Programming (2010)Stochastic ProgrammingRobust Optimization of Large-Scale Systems (1995)Robust Optimization of Large-…Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Decisions with Multiple Objec…Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Scenarios and Policy Aggregat…The value of the stochastic solution in stochastic linear programs with fixed recourse (1982)The value of the stochastic s…Stochastic control for economic models (1981)Stochastic control for econom…Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Stochastic Approximation Meth…Stochastic Linear Programming (1976)Stochastic Linear ProgrammingRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …Introduction to stochastic control (1971)Introduction to stochastic co…Introduction to Stochastic Control Theory (1970)Introduction to Stochastic Co…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Alternative Approaches to the Theory of Choice in Risk-Taking Situations (1951)Alternative Approaches to the…Robust optimisation formulations for the design of an electric machine (2018)Robust optimisation formulati…Multistage Stochastic Mean-Variance Portfolio Analysis with Transaction Costs (2003)Multistage Stochastic Mean-Va…Decisions with Multiple Objectives (1993)Robust solutions of uncertain linear programs (1999)Robust optimization – A comprehensive survey (2007)Chance-Constrained Programming (1959)Lectures on Stochastic Programming: Modeling and Theory (2009)An equilibrium characterization of the term structure (1977)Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (2000)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dual decomposition in stochastic integer programming (1999)Scenarios for Multistage Stochastic Programs (2000)Optimization under uncertainty: state-of-the-art and opportunities (2003)Conjoint Analysis in Consumer Research: Issues and Outlook (1978)Risk management in a dynamic society: a modelling problem (1997)Best-worst multi-criteria decision-making method (2014)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)Convergence of least squares learning mechanisms in self-referential linear stochastic models (1989)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Monte Carlo Sampling Methods (2003)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

  • 2019Theory of games and economic behavior16,630 cited
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  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
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  • 1982The value of the stochastic solution in stochastic linear programs with fixed recourse321 cited
  • 1981Stochastic control for economic models

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  • 2003Multistage Stochastic Mean-Variance Portfolio Analysis with Transaction Costs40 cited
  • 2018Robust optimisation formulations for the design of an electric machine11 cited