Search results for "mean-risk"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
90	Shabbir Ahmed 0001	Convexity and decomposition of mean-risk stochastic programs.	Math. Program.	2006	DBLP DOI BibTeX RDF	Mean-risk objectives, Computational complexity, Decomposition, Stochastic programming, Cutting plane algorithms
47	Wlodzimierz Ogryczak, M. Opolska-Rutkowska	SSD Consistent Criteria and Coherent Risk Measures.	System Modelling and Optimization	2005	DBLP DOI BibTeX RDF	decisions under risk, mean-risk, stochastic dominance
43	Debasis Mitra 0001	Stochastic traffic engineering for demand uncertainty and risk-aware network revenue management.	SIGMETRICS	2004	DBLP DOI BibTeX RDF
36	Rüdiger Schultz, Stephan Tiedemann	Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse.	Math. Program.	2006	DBLP DOI BibTeX RDF	Mean-risk models, Mixed-integer optimization, Stochastic programming, Conditional value-at-risk
35	Debasis Mitra 0001	Joint pricing-network design and stochastic traffic engineering to manage demand uncertainty.	SIGMETRICS	2005	DBLP DOI BibTeX RDF
26	Debasis Mitra 0001, Qiong Wang	Stochastic traffic engineering for demand uncertainty and risk-aware network revenue management.	IEEE/ACM Trans. Netw.	2005	DBLP DOI BibTeX RDF	demand uncertainty, economics, traffic engineering, risk, mathematical programming
20	Renata Mansini, Wlodzimierz Ogryczak, Maria Grazia Speranza	Conditional value at risk and related linear programming models for portfolio optimization.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	Mean-risk models, Gini’s mean difference, Linear programming, Portfolio optimization, Conditional Value at Risk, Stochastic dominance
18	Xiaopo Zhuo, Fan Wang 0003, Shaorui Zhou	Pricing and Cargo Canvassing with Risk-Sensitive Shipping Lines: A Mean-Risk Analysis.	Asia Pac. J. Oper. Res.	2021	DBLP DOI BibTeX RDF
18	E. Ruben van Beesten, Ward Romeijnders	Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk.	Math. Program.	2020	DBLP DOI BibTeX RDF
18	Jia Zhai, Manying Bai	Mean-risk model for uncertain portfolio selection with background risk.	J. Comput. Appl. Math.	2018	DBLP DOI BibTeX RDF
18	Jianjun Gao 0001, Yan Xiong, Duan Li 0002	Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time.	Eur. J. Oper. Res.	2016	DBLP DOI BibTeX RDF
18	Evdokia Nikolova, Nicolás E. Stier Moses	The Burden of Risk Aversion in Mean-Risk Selfish Routing.	EC	2015	DBLP DOI BibTeX RDF
18	Evdokia Nikolova, Nicolás E. Stier Moses	The Burden of Risk Aversion in Mean-Risk Selfish Routing.	CoRR	2014	DBLP BibTeX RDF
18	Wlodzimierz Ogryczak, Andrzej Ruszczynski	From stochastic dominance to mean-risk models: Semideviations as risk measures.	Eur. J. Oper. Res.	1999	DBLP DOI BibTeX RDF
18	Masaaki Kijima, Masamitsu Ohnishi	Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities.	Ann. Oper. Res.	1993	DBLP DOI BibTeX RDF
13	Kwang-Il Choe, Xiaoxia Huang, Di Ma	Uncertain mean-risk index portfolio selection considering inflation: Chaos adaptive genetic algorithm.	Int. J. Mach. Learn. Cybern.	2024	DBLP DOI BibTeX RDF
13	Basem Alkhaleel, Haitao Liao, Kelly M. Sullivan	Model and solution method for mean-risk cost-based post-disruption restoration of interdependent critical infrastructure networks.	Comput. Oper. Res.	2022	DBLP DOI BibTeX RDF
13	Gabriela Kovácová, Birgit Rudloff	Time Consistency of the Mean-Risk Problem.	Oper. Res.	2021	DBLP DOI BibTeX RDF
13	Liangyu Min, Jiawei Dong, Jiangwei Liu, Xiaomin Gong	Robust mean-risk portfolio optimization using machine learning-based trade-off parameter.	Appl. Soft Comput.	2021	DBLP DOI BibTeX RDF
13	Alper Atamtürk, Carlos Deck, Hyemin Jeon	Successive Quadratic Upper-Bounding for Discrete Mean-Risk Minimization and Network Interdiction.	INFORMS J. Comput.	2020	DBLP DOI BibTeX RDF
13	Saravanan Venkatachalam, Arunachalam Narayanan	Two-stage absolute semi-deviation mean-risk stochastic programming: An application to the supply chain replenishment problem.	Comput. Oper. Res.	2019	DBLP DOI BibTeX RDF
13	Alper Atamtürk, Hyemin Jeon	Lifted polymatroid inequalities for mean-risk optimization with indicator variables.	J. Glob. Optim.	2019	DBLP DOI BibTeX RDF
13	Luong Vuong Le, Quang Thuan Nguyen, Duc Quynh Tran	A New Solution Method for a Mean-Risk Mixed Integer Nonlinear Program in Transportation Network Protection.	ICCSAMA	2019	DBLP DOI BibTeX RDF
13	Gennady Shepelev, Nina Khairova, Zoia Kochueva	Method "Mean - Risk" for Comparing Poly-Interval Objects in Intelligent Systems.	COLINS	2019	DBLP BibTeX RDF
13	Christoph Buchheim, Marianna De Santis, Francesco Rinaldi, Long Trieu	A Frank-Wolfe based branch-and-bound algorithm for mean-risk optimization.	J. Glob. Optim.	2018	DBLP DOI BibTeX RDF
13	Jie Lu 0004, Akshay Gupte, Yongxi (Eric) Huang	A mean-risk mixed integer nonlinear program for transportation network protection.	Eur. J. Oper. Res.	2018	DBLP DOI BibTeX RDF
13	Daniel Schoch	Generalised mean-risk preferences.	J. Econ. Theory	2017	DBLP DOI BibTeX RDF
13	Yingxue Zhao, Tsan-Ming Choi, T. C. E. Cheng, Shouyang Wang	Mean-risk analysis of wholesale price contracts with stochastic price-dependent demand.	Ann. Oper. Res.	2017	DBLP DOI BibTeX RDF
13	Frantisek Zapletal, Martin Smíd	Mean-risk optimal decision of a steel company under emission control.	Central Eur. J. Oper. Res.	2016	DBLP DOI BibTeX RDF
13	Tanisha G. Cotton, Lewis Ntaimo	Computational study of decomposition algorithms for mean-risk stochastic linear programs.	Math. Program. Comput.	2015	DBLP DOI BibTeX RDF
13	Qun Zhang, Xiaoxia Huang, Chao Zhang	A mean-risk index model for uncertain capital budgeting.	J. Oper. Res. Soc.	2015	DBLP DOI BibTeX RDF
13	Guoqing Yang, Yankui Liu	Designing fuzzy supply chain network problem by mean-risk optimization method.	J. Intell. Manuf.	2015	DBLP DOI BibTeX RDF
13	Evdokia Nikolova, Nicolás E. Stier Moses	A Mean-Risk Model for the Traffic Assignment Problem with Stochastic Travel Times.	Oper. Res.	2014	DBLP DOI BibTeX RDF
13	Alessandra Cillo, Philippe Delquié	Mean-risk analysis with enhanced behavioral content.	Eur. J. Oper. Res.	2014	DBLP DOI BibTeX RDF
13	Khanh D. Pham, Elena A. Gubar	A class of mean-risk decisions for noncooperative games and distributed controls.	ECC	2013	DBLP DOI BibTeX RDF
13	João Claro, Jorge Pinho de Sousa	A multiobjective metaheuristic for a mean-risk multistage capacity investment problem with process flexibility.	Comput. Oper. Res.	2012	DBLP DOI BibTeX RDF
13	Huifu Xu, Dali Zhang	Monte Carlo methods for mean-risk optimization and portfolio selection.	Comput. Manag. Sci.	2012	DBLP DOI BibTeX RDF
13	Zhiping Chen 0001, Feng Zhang, Li Yang	Postoptimality for mean-risk stochastic mixed-integer programs and its application.	Math. Methods Oper. Res.	2011	DBLP DOI BibTeX RDF
13	Xiaoxia Huang	Mean-risk model for uncertain portfolio selection.	Fuzzy Optim. Decis. Mak.	2011	DBLP DOI BibTeX RDF
13	Xiaoxia Huang	Mean-Risk Model for Hybrid Portfolio Selection with Fuzziness and Randomness.	ICHIT (1)	2011	DBLP DOI BibTeX RDF
13	João Claro, Jorge Pinho de Sousa	A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem.	Comput. Optim. Appl.	2010	DBLP DOI BibTeX RDF
13	João Claro, Jorge Pinho de Sousa	A multiobjective metaheuristic for a mean-risk multistage capacity investment problem.	J. Heuristics	2010	DBLP DOI BibTeX RDF
13	Xiaoxia Huang, Wenjing Gao, Zhiying Hu 0002	Active portfolio management based on EVA and mean-risk model.	FSKD	2010	DBLP DOI BibTeX RDF
13	Antonio Alonso-Ayuso, Laureano F. Escudero, Celeste Pizarro	On SIP algorithms for minimizing the mean-risk function in the multi-period single-source problem under uncertainty.	Ann. Oper. Res.	2009	DBLP DOI BibTeX RDF	Multi-period single-source problem, Two-stage stochastic mixed 0-1 programs, Non-anticipativity constraints, Splitting variables, Fix-and-relax coordination
13	Nicole Bäuerle, André Mundt	Dynamic mean-risk optimization in a binomial model.	Math. Methods Oper. Res.	2009	DBLP DOI BibTeX RDF
13	Alper Atamtürk, Vishnu Narayanan	Polymatroids and mean-risk minimization in discrete optimization.	Oper. Res. Lett.	2008	DBLP DOI BibTeX RDF
13	Hiroshi Konno, Rei Yamamoto	Integer programming approaches in mean-risk models.	Comput. Manag. Sci.	2005	DBLP DOI BibTeX RDF
13	Hanqing Jin, Jia-An Yan, Xun Yu Zhou	Mean-risk portfolio selection models in continuous time.	CDC	2004	DBLP DOI BibTeX RDF
13	Wlodzimierz Ogryczak, Andrzej Ruszczynski	Dual Stochastic Dominance and Related Mean-Risk Models.	SIAM J. Optim.	2002	DBLP DOI BibTeX RDF
13	Vijay S. Mookerjee, Michael V. Mannino	Mean-Risk Trade-Offs in Inductive Expert Systems.	Inf. Syst. Res.	2000	DBLP DOI BibTeX RDF
12	Diana Roman, Ken Darby-Dowman, Gautam Mitra	Portfolio construction based on stochastic dominance and target return distributions.	Math. Program.	2006	DBLP DOI BibTeX RDF	Mathematics subject classification(2000) 91B28, 91B06, 90B50
11	Robert Burduk	Classification Accuracy in Local Optimal Strategy of Multistage Recognition with Fuzzy Data.	Computer Recognition Systems 2	2008	DBLP DOI BibTeX RDF
11	Robert Burduk	Fuzzy Data in Local Optimal Strategy of Multistage Recognition.	CISIM	2007	DBLP DOI BibTeX RDF
11	Robert Burduk, Marek Kurzynski	Two-stage binary classifier with fuzzy-valued loss function.	Pattern Anal. Appl.	2006	DBLP DOI BibTeX RDF	Two-stage binary classifier, Fuzzy loss function, Decision rules
7	Ronald Hochreiter, Georg Ch. Pflug	Financial scenario generation for stochastic multi-stage decision processes as facility location problems.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	Multi-stage financial scenario generation, Stochastic programming