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Challenges in stochastic programming
16 references·3 citing·42 second hop
Challenges in stochastic programming (1996)Challenges in stochastic programmingStochastic Optimization Models in Finance (2006)Stochastic Optimization Model…Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems (1995)Probabilistic bounds (via lar…Quantitative stability in stochastic programming (1994)Quantitative stability in sto…Numerical Methods for Stochastic Control Problems in Continuous Time (Harold J. Kushner and Paul G. Dupuis) (1994)Numerical Methods for Stochas…Bounds for Two-Stage Stochastic Programs with Fixed Recourse (1994)Bounds for Two-Stage Stochast…Asymmetric risk measures and tracking models for portfolio optimization under uncertainty (1993)Asymmetric risk measures and …Stochastic Two-Stage Programming (1992)Stochastic Two-Stage Programm…Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Numerical Methods for Stochas…Stability analysis for stochastic programs (1991)Stability analysis for stocha…Asymptotic analysis of stochastic programs (1991)Asymptotic analysis of stocha…Stability and sensitivity-analysis for stochastic programming (1990)Stability and sensitivity-ana…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs (1988)A Separable Piecewise Linear …Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs (2007)Stability of $\varepsilon$-ap…Some Aspects of Stability in Stochastic Programming (2000)Some Aspects of Stability in …A system approach to management of catastrophic risks (2000)A system approach to manageme…Multiple channel queues in heavy traffic. I (1970)Open Queueing Networks in Heavy Traffic (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)A Dynamic Model of Optimal Capital Structure (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Numerical Techniques for Stochastic Optimization (1988)Stability of Stochastic Programming Problems (2003)Stochastic programming approach to optimization under uncertainty (2007)Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach (2021)Stochastic Linear Programming (1976)On structure and stability in stochastic programs with random technology matrix and complete integer recourse (1995)Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse (2003)Structural properties of linear probabilistic constraints (2007)Stochastic Linear Programming (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)Controlled and optimally controlled multiplexing systems: A numerical exploration (1995)Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (2008)Optimal control of a high-volume assemble-to-order system with maximum leadtime quotation and expediting (2008)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Systemic Risk and International Portfolio Choice (2004)Optimal Portfolio Allocation under Higher Moments (2006)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Brownian Motion and Stochastic Calculus (2007)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Optimization Problems in the Theory of Continuous Trading (1989)Hedging in incomplete markets with HARA utility (1997)Planning under uncertainty solving large-scale stochastic linear programs (1992)Barycentric scenario trees in convex multistage stochastic programming (1996)The stochastic interdiction median problem with disruption intensity levels (2012)A General Mean-Variance Approximation to Expected Utility for Short Holding Periods (1981)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Mean—Variance Analysis (1989)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Heavy traffic resource pooling in parallel‐server systems (1999)Investment Shocks and Asset Prices (2011)
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References

  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1992Numerical Methods for Stochastic Control Problems in Continuous Time625 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 1991Asymptotic analysis of stochastic programs258 cited
  • 2006Stochastic Optimization Models in Finance160 cited
  • 1994Numerical Methods for Stochastic Control Problems in Continuous Time (Harold J. Kushner and Paul G. Dupuis)102 cited
  • 1991Stability analysis for stochastic programs100 cited
  • 1992Stochastic Two-Stage Programming98 cited
  • 1990Stability and sensitivity-analysis for stochastic programming92 cited
  • 1993Asymmetric risk measures and tracking models for portfolio optimization under uncertainty74 cited
  • 1995Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems70 cited
  • 1994Bounds for Two-Stage Stochastic Programs with Fixed Recourse64 cited
  • 1994Quantitative stability in stochastic programming

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57 cited
  • 1988A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs54 cited
  • Cited by

    • 2000A system approach to management of catastrophic risks70 cited
    • 2007Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs41 cited
    • 2000Some Aspects of Stability in Stochastic Programming37 cited