Browsing by Subject "Robust optimization"

Now showing items 1-3 of 3

    • Working Paper  Open Access

      Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances 

      Lotfi, Somayyeh; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)
      We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
    • Article  

      Stochastic linear programs with restricted recourse 

      Vladimirou, Hercules; Zenios, Stavros A. (1997)
      Stochastic programs with recourse provide an effective modeling paradigm for sequential decision problems with uncertain or noisy data, when uncertainty can be modeled by a discrete set of scenarios. In two-stage problems ...
    • Article  

      Stochastic linear programs with restricted recourse 

      Vladimirou, Hercules; Zenios, Stavros A. (1997)
      Stochastic programs with recourse provide an effective modeling paradigm for sequential decision problems with uncertain or noisy data, when uncertainty can be modeled by a discrete set of scenarios. In two-stage problems ...