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Data Pooling in Stochastic Optimization
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Data Pooling in Stochastic Optimization (2021)Data Pooling in Stochastic OptimizationRobust sample average approximation (2017)Robust sample average approxi…Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations (2017)Data-driven distributionally …The Data-Driven Newsvendor Problem: New Bounds and Insights (2015)The Data-Driven Newsvendor Pr…Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Data-Driven Distributionally …Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011)Size Matters: Optimal Calibra…Lectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…Lectures on Stochastic Programming (2009)Lectures on Stochastic Progra…The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)The Sample Average Approximat…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…A Stochastic Approximation Method (1951)Coherent Measures of Risk (1999)Analysis of stochastic dual dynamic programming method (2010)Data-driven chance constrained stochastic program (2015)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Optimization of conditional value-at-risk (2000)The Price of Robustness (2004)Robust Optimization (2009)A Convex Optimization Approach to Distributionally Robust Markov Decision Processes With Wasserstein Distance (2017)Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models (2019)Data-driven distributionally robust chance-constrained optimization with Wasserstein metric (2020)Foundations of Inventory Management (2000)Stochastic Simulation (2007)Optimization under uncertainty in the era of big data and deep learning: When machine learning meets mathematical programming (2019)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)A stochastic programming approach for supply chain network design under uncertainty (2004)Convex Approximations of Chance Constrained Programs (2006)Introduction to Stochastic Programming (2011)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)An Analytic Derivation of the Efficient Portfolio Frontier (1972)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)The Properties of Equally Weighted Risk Contribution Portfolios (2010)Handbooks in operations research and management science (1989)Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls (2018)From Data to Decisions: Distributionally Robust Optimization Is Optimal (2020)Distributionally Robust Optimization: A review on theory and applications (2021)PORTFOLIO SELECTION* (1952)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks (2014)Funding liquidity risk and bank risk-taking in BRICS countries (2017)Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2018)Data-driven robust optimization (2017)A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality (2010)A Guide to Sample Average Approximation (2014)
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References

  • 2002The Sample Average Approximation Method for Stochastic Discrete Optimization1,989 cited
  • 2015Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations1,869 cited
  • 2009Lectures on Stochastic Programming: Modeling and Theory1,623 cited
  • 2009Lectures on Stochastic Programming1,419 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2015The Data-Driven Newsvendor Problem: New Bounds and Insights260 cited
  • 2017Robust sample average approximation247 cited
  • 2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection152 cited
  • 2017Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations136 cited

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