Frontiers of Stochastically Nondominated Portfolios
By Andrzej Ruszczynski, Robert J. Vanderbei. 2003
94 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research, Ocean Engineering
View Paper: https://www.semanticscholar.org/paper/4cf6aa0affd05319355dbb67892a890685ebab80
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Darinka Dentcheva †
- Alexander Shapiro
- Andrzej Ruszczynski
- Gautam Mitra
- Diana Roman
- Nilay Noyan
- Tito Homem-de-Mello
- Güzin Bayraksan
In Management Science and Operations Research
- Darinka Dentcheva †
- Andrzej Ruszczynski
- Alexander Shapiro
- Tito Homem-de-Mello
- Guanghui Lan
- Güzin Bayraksan
- Arkadi Nemirovski
- Warrren B Powell
In Ocean Engineering
Citations in the corpus
- Lectures on Stochastic Programming: Modeling and Theory (2009, methodology): “Deviations and semideviations in mean–risk analysis were analyzed in Kijima and Ohnishi [106], Konno [111], Ogryczak and Ruszczyński [142, 143], Ruszczyński and Vanderbei [190].”
- Portfolio optimization with stochastic dominance constraints (2006, methodology): “The general question of constructing mean–risk models which are in harmony with the stochastic dominance relations has been the subject of the analysis of the recent papers [20, 21, 22, 27].”
- Optimization with Stochastic Dominance Constraints (2003, unknown): “, [16, 17, 34]).”