17 research outputs found
Risk-Averse Dynamic Arbitrage in Illiquid Markets
- Author
- A Alfonsi
- A Ben-Tal
- A Bernardo
- A Damodaran
- A Fruth
- A Obizhaeva
- A Ruszczy�nskiruszczy�nski
- A Ruszczy�nskiruszczy�nski
- A Ruszczy�nskiruszczy�nski
- A S Kyle
- A Shapiro
- A Shapiro
- B Acciaio
- B Defourny
- B Rudloff
- D Bertsimas
- D P Bertsekas
- E F Fama
- F Riedel
- G Huberman
- G Huberman
- H F�llmer
- J Bion-Nadal
- J Cvitani�ccvitani�c
- J Gatheral
- J Nocedal
- K Boda
- K Detlefsen
- M Allingham
- M C Jensen
- M Frittelli
- O Gueant
- O R H Ledoit
- P Artzner
- P Cheridito
- P Kondor
- P Wilmott
- R A Collado
- R Almgren
- R Almgren
- R F Almgren
- S Kl�ppel
- S Moazeni
- S Moazeni
- S Moazeni
- Somayeh Moazeni
- T Foucault
- W B Powell
- W Ogryczak
- W Ogryczak
- Y Amihud
- Y Amihud
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
Robust Maximum Weighted Independent-Set Problems on Interval Graphs
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2011
- Field of study
Conditional Risk Mappings
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2005
- Field of study
The Best Gain-Loss Ratio is a Poor Performance Measure
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2013
- Field of study
On the Dual Approach to Recursive Optimization
- Author
- A Abraham
- A Atkeson
- A Atkeson
- A P Ruszczy�nskiruszczy� Ruszczy�nski
- A Rustichini
- A Rustichini
- C D Aliprantis
- C D Aliprantis
- C Sleet
- Christopher M. Sleet
- D Abreu
- D Acemo? Glu
- D Luenberger
- D P Bertsekas
- Dechert
- E Schmutz
- H Hopenhayn
- I H Sloan
- I Necoara
- J Miao
- J Rin�conrin�con-Zapatero
- J Thomas
- J Thomas
- J Wessels
- K Yosida
- Le Van
- M Messner
- M Woodford
- Matthias Messner
- N Stokey
- Nicola Pavoni
- R Aiyagari
- T Cooley
- T Rockafellar
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2011
- Field of study
Socially Responsible Merchant Operations: Comparison of Shutdown-averse CVaR and Anticipated Regret Policies
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2021
- Field of study
Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems
- Author
- A Charnes
- A Nemirovski
- A Pr�kopa
- A Pr�kopa
- A Pr�kopa
- A Pr�kopa
- A Pr�kopa
- A Pr�kopa
- A Ruszczy�nskiruszczy�nski
- A Ruszczy�nskiruszczy�nski
- A Saxena
- B L Miller
- Cheon M.-S Ahmed
- D Dentcheva
- D Dentcheva
- D Dentcheva
- E Boros
- E Boros
- E Djukova
- E Djukova
- E Triantaphyllou
- G Alexe
- G Alexe
- G C Calafiore
- I.-M Gren
- J F Martinez-Trinidad
- J Hooker
- J Luedtke
- J Luedtke
- J N Hooker
- J R Birge
- J Ruiz-Shulcloper
- K Fukunaga
- K Truemper
- M A Lejeune
- M A Lejeune
- M A Lejeune
- M A Lejeune
- M Kress
- M W Tanner
- Miguel Lejeune
- P Beraldi
- P L Hammer
- P L Hammer
- P L Hammer
- P L Hammer
- R Fourer
- R G Jeroslow
- R H Urbano
- R Henrion
- R O Duda
- S K��k��k���kyavuz
- S Radeanu
- S Sen
- T Eiter
- T Ibaraki
- U Grenander
- V I Torvik
- V N Vapnik
- Y Crama
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2010
- Field of study
An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
- Author
- &apos
- A Ben-Tal
- A Frangioni
- A Marshall
- A Pr�kopa
- A Pr�kopa
- A Ruszczy�nskiruszczy�nski
- A Weintraub
- A W�chter
- B Scherer
- C Van De Panne
- Cheon M.-S Ahmed
- D Bienstock
- D Goldfarb
- G Cornuej�ls
- H Konno
- H M Markowitz
- J Av�rous
- J Mulvey
- J T Linderoth
- L El Ghaoui
- Miguel Lejeune
- N J Jobst
- O L V Costa
- P Bonami
- Pierre Bonami
- R Fletcher
- R H T�t�nc�
- R Henrion
- S Ceria
- S Kataoka
- S Leyffer
- V Chopra
- V S Bawa
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2007
- Field of study
On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators
- Author
- A Dassios
- A Dassios
- A Ruszczy�nskiruszczy�nski
- B Heidergott
- B L Fox
- C Kang
- C.-H Rhee
- C.-H Rhee
- Chihoon Lee
- D Mcleish
- J A Muckstadt
- K Giesecke
- K Giesecke
- K Giesecke
- K Giesecke
- K Giesecke
- Lingjiong Zhu
- M B Giles
- M Broadie
- M C Fu
- M C Fu
- M Giles
- M Vihola
- N Cai
- N Chen
- P E Kloeden
- P Glasserman
- P Glasserman
- P Glasserman
- P W Glynn
- R C Liu
- W Kang
- Y Peng
- Y Wang
- Yunfan Zhu
- Z Cui
- Z Cui
- Z Cui
- Z Zheng
- Zhenyu Cui
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2019
- Field of study
Robust Return Risk Measures
- Author
- A Ben-Tal
- A Chateauneuf
- A Ruszczy�nskiruszczy�nski
- A Wald
- B De Finetti
- D Bernoulli
- D Kahneman
- E Jouini
- Emanuela Rosazza Gianin
- F Bellini
- F Bellini
- F Delbaen
- F Delbaen
- F Maccheroni
- F Maccheroni
- F P Ramsey
- Fabio Bellini
- H B�hlmann
- H F�llmer
- H F�llmer
- H M Markowitz
- I Gilboa
- J Haezendonck
- K Borch
- L J Savage
- M Frittelli
- M J Goovaerts
- M M Rao
- O Deprez
- P Cheridito
- P Cheridito
- P J Huber
- P Kosmol
- R J A Laeven
- R J A Laeven
- R T Rockafellar
- Roger J. A. Laeven
- S Cerreia-Vioglio
- S Weber
- Von Neumann
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study