Optimization of Risk Measures

By Andrzej Ruszczynski, Alexander Shapiro. 2006

146 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Soil Science

View Paper: https://www.semanticscholar.org/paper/91d5c91f6910d7785d5c9fe7901f92bf97744bda

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In Management Science and Operations Research

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Citations in the corpus

Optimization of Convex Risk Functions (2006, background): “Many other examples of risk functions, including examples of nonhomogeneous risk functions, can be found in Ruszczyński and Shapiro [27].”
Risk-averse two-stage stochastic programming with an application to disaster management (2012, methodology): “For some examples of such risk functions, we refer the reader to Ogryczak and Ruszczyński [20] and Ruszczyński and Shapiro [35].”
Lectures on Stochastic Programming: Modeling and Theory (2009, methodology): “Our presentation is based on Ruszczyński and Shapiro [224, 226].”
Convex Approximations of Chance Constrained Programs (2006, background): “Therefore it appears natural to consider “robust” or minimax versions of the chance constrained problems; for results in this direction, see [12, 27, 25, 26, 14] and references therein.”
Ambiguous chance constrained problems and robust optimization (2006, background): “Ruszczynski and Shapiro [ 38 ] show the equivalence between minimax stochastic programming and minimizing a convex risk measure [2, 24] of the second-stage cost.”
Risk-averse dynamic programming for Markov decision processes (2010, background): “Particularly relevant for us are the duality theory [1] [10] [14] [16] [17] [34] [43] [45] [46], and the theory of conditional and dynamic risk measures [2] [8] [11] [15] [18] [19] [28] [38] [48] [40] [45] [47].”
Incorporating risk measures in closed-loop supply chain network design (2014, background): “These papers include the studies of Ruszczynski and Shapiro (2006), Ahmed (2006), Chen et al. (2006), Guillén et al. (2006), Schultz and Tiedemann (2006), Bidhandi and Yusuff (2011), Nickel, Saldanha-da-Gama, and Ziegler (2012) (in supply chain), and Chen and Fan (2012).”