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A Soft Robust Model for Optimization Under Ambiguity
16 references·16 citing·22 second hopsampled
A Soft Robust Model for Optimization Under Ambiguity (2010)A Soft Robust Model for Optimization Unde…Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Convex Approximations of Chance Constrained Programs (2006)Convex Approximations of Chan…Ambiguity Aversion, Robustness, and the Variational Representation of Preferences (2006)Ambiguity Aversion, Robustnes…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…The Price of Robustness (2004)The Price of RobustnessSubjective probability and expected utility without additivity (2004)Subjective probability and ex…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Robust Control and Model Uncertainty (2001)Robust Control and Model Unce…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskRobust Convex Optimization (1998)Robust Convex OptimizationSubjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitA Review of Robust Operations Management under Model Uncertainty (2020)A Review of Robust Operations…A survey of decision making and optimization under uncertainty (2019)A survey of decision making a…Robust Optimization: Concepts and Applications (2018)Robust Optimization: Concepts…Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity (2018)Risk-Averse Two-Stage Stochas…Robust reinsurance contracts with uncertainty about jump risk (2017)Robust reinsurance contracts …Algorithm Engineering in Robust Optimization (2016)Algorithm Engineering in Robu…Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion (2015)Minimizing the Probability of…Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach (2014)Robustifying Convex Risk Meas…Generalized light robustness and the trade-off between robustness and nominal quality (2014)Generalized light robustness …Distributionally robust chance constraints for non-linear uncertainties (2014)Distributionally robust chanc…Robust portfolio asset allocation and risk measures (2013)Robust portfolio asset alloca…Pareto Efficiency in Robust Optimization (2013)Pareto Efficiency in Robust O…A Comparative Theoretical and Computational Study on Robust Counterpart Optimization: II. Probabilistic Guarantees on Constraint Satisfaction (2012)A Comparative Theoretical and…Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection (2011)Tight Bounds for Some Risk Me…Theory and Applications of Robust Optimization (2011)Theory and Applications of Ro…Scenario-based portfolio selection of investment projects with incomplete probability and utility information (2011)Scenario-based portfolio sele…Studies in Mathematical Theory of Inventory and Production (1959)Recent advances in robust optimization: An overview (2013)Distributionally Robust Convex Optimization (2014)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Psychology and Economics (1997)Conditional value-at-risk for general loss distributions (2002)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Entrepreneurial discovery and the competitive market process: an Austrian approach (2000)Gender Differences in Preferences (2009)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Robust solutions of uncertain linear programs (1999)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)
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References

  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2004The Price of Robustness4,620 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1998Robust Convex Optimization2,606 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2006Convex Approximations of Chance Constrained Programs1,163 cited
  • 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

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Cited by

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  • 2011Theory and Applications of Robust Optimization134 cited
  • 2016Algorithm Engineering in Robust Optimization124 cited
  • 2018Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity120 cited
  • 2019A survey of decision making and optimization under uncertainty106 cited
  • 2011Scenario-based portfolio selection of investment projects with incomplete probability and utility information99 cited
  • 2020A Review of Robust Operations Management under Model Uncertainty96 cited
  • 2014Generalized light robustness and the trade-off between robustness and nominal quality88 cited
  • 2012A Comparative Theoretical and Computational Study on Robust Counterpart Optimization: II. Probabilistic Guarantees on Constraint Satisfaction84 cited
  • 2014Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach72 cited
  • 2015Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion65 cited
  • 2014Distributionally robust chance constraints for non-linear uncertainties62 cited
  • 2017Robust reinsurance contracts with uncertainty about jump risk62 cited
  • 2013Robust portfolio asset allocation and risk measures48 cited
  • 2018Robust Optimization: Concepts and Applications48 cited