Search CORE

8 research outputs found

Optimizing Boat Resources at the U.S. Coast Guard: Deterministic and Stochastic Models

Author: Allen T
Allen T
Hull J
Michael R. Wagner
Pearson N
Radovilsky Z
Sarykalin S
Zinovy Radovilsky
Publication venue: 'Institute for Operations Research and the Management Sciences (INFORMS)'
Publication date
Field of study

Estimation of Individualized Decision Rules Based on an Optimized Covariate-Dependent Equivalent of Random Outcomes

Author: Jong-Shi Pang
Markowitz H.
Murphy S. A.
Rockafellar R. T.
Sarykalin S.
Tan C.
Ying Cui
Yufeng Liu
Zhengling Qi
Publication venue: 'Society for Industrial & Applied Mathematics (SIAM)'
Publication date
Field of study

Calibrating Risk Preferences with Generalized CAPM Based on Mixed CVaR Deviation

Author: A Kraus
Ait-Sahalia
E F Fama
F A Sortino
Friend
H Konno
H M Markowitz
J C Jackwerth
J Estrada
J Lintner
J Mossin
K.-G Lim
Konstantin Kalinchenko
N Barberis
P Krokhmal
P Krokhmal
R R Bliss
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
R T Rockafellar
S Sarykalin
S Sarykalin
Stanislav Uryasev
Tyrrell R. Rockafellar
W F Sharpe
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

Risk assessment of microgrid aggregators considering demand response and uncertain renewable energy sources

Author: A Sujil
CW Gellings
DT Nguyen
F Salah
H Huang
IG Sardou
J Shen
JP Morgan
JR Snape
K Vatanparvar
KD Mistry
L Gkatzikis
L Zhu
LK Panwar
M Motalleb
M Parvania
M Vahid-Ghavidel
N Mahmoudi
P Artzner
R Palma-Behnke
RH Auba
RS Tsay
RT Rockafellar
S Bahrami
S Eftekharnejad
S Nadarajah
S Sarykalin
TM Hansen
V Mohan
W Pei
Y Yamai
Y Zhang
Z Xu
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Pricing European Options by Numerical Replication: Quadratic Programming with Constraints

Research Papers in Economics

Stability advances in robust portfolio optimization under parallelepiped uncertainty

Author: A Ben-Tal
A Ben-Tal
A Ben-Tal
A Jalilvand-Nejad
A Özmen
A Özmen
AG Quaranta
AL Soyster
Ayşe Özmen
D Bertsimas
D Bertsimas
D Huang
D Kuhn
E Savku
F Black
FJ Fabozzi
Gerhard-Wilhelm Weber
Güray Kara
H Markowitz
HT Jongen
HT Jongen
I Griva
K Natarajan
P Boyle
RH Tütüncü
RJ Fonseca
RT Rockafellar
RT Rockafellar
S Sarykalin
S Zhu
T Hasuike
TK Siu
V Kirilyuk
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Pricing European Options by Numerical Replication: Quadratic Programming with Constraints

Author: A King
C Edirisinghe
C Joy
D Bertsimas
D Bertsimas
D Duffie
F Black
F Longstaff
H Fllmer
H Follmer
H Levy
J Tsitsiklis
J Tsitsiklis
J Wu
J-P Bouchaud
L Carriere
M Broadie
M Broadie
M Dempster
M Dempster
M Dempster
M Schweizer
M Schweizer
M Schweizer
P Boyle
P Dennis
P Glasserman
P H Ritchken
Phelim P Boyle
R Dembo
R Merton
S Fedotov
S Perrakis
Sergey Sarykalin
Stanislav P. Uryasev
T Coleman
V Naik
Valeriy Ryabchenko
Y Ait-Sahalia
Y Gotoh
Publication venue: 'Elsevier BV'
Publication date: 01/01/2005
Field of study

The optimisation of block caving production scheduling with geometallurgical uncertainty – a multi-objective approach

Author: Amankwah H
Barnett RM
Barnett RM
Benndorf J
Bianchi L
Boisvert JB
Deb K
Dimitrakopoulos R
Dimitrakopoulos R
Dimitrakopoulos RG
Dowd PA
Dowd PA
Dowd PA
Evatt GW
Gholamnejad J
Goldie R
Goodfellow RC
Groeneveld B
Hunt J
Journel AG
Khodayari F
Kumral M
Lamghari A
Land AH
Lund C
Marler RT
McCarthy P
Nezhadshahmohammad F
Parian M
Rahal D
Ramazan S
Rockafellar RT
Sarykalin S
Schultz R
Sepúlveda E
Tungpalan K
Whitley D
Yashar P
Publication venue: 'Informa UK Limited'
Publication date
Field of study

core

core