Luan, Fei; Zhang, Weiguo; Liu, Yongjun Robust international portfolio optimization with worst-case mean-CVaR. (English) Zbl 07562457 Eur. J. Oper. Res. 303, No. 2, 877-890 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{F. Luan} et al., Eur. J. Oper. Res. 303, No. 2, 877--890 (2022; Zbl 07562457) Full Text: DOI OpenURL
Tsang, Man Yiu; Sit, Tony; Wong, Hoi Ying Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty. (English) Zbl 07554582 Appl. Math. Optim. 86, No. 1, Paper No. 8, 29 p. (2022). MSC: 91G10 90C15 62H20 PDF BibTeX XML Cite \textit{M. Y. Tsang} et al., Appl. Math. Optim. 86, No. 1, Paper No. 8, 29 p. (2022; Zbl 07554582) Full Text: DOI OpenURL
Cheramin, Meysam; Cheng, Jianqiang; Jiang, Ruiwei; Pan, Kai Computationally efficient approximations for distributionally robust optimization under moment and Wasserstein ambiguity. (English) Zbl 07552234 INFORMS J. Comput. 34, No. 3, 1768-1794 (2022). MSC: 90-XX PDF BibTeX XML Cite \textit{M. Cheramin} et al., INFORMS J. Comput. 34, No. 3, 1768--1794 (2022; Zbl 07552234) Full Text: DOI OpenURL
Li, Yongzhen; Li, Xueping; Shu, Jia; Song, Miao; Zhang, Kaike A general model and efficient algorithms for reliable facility location problem under uncertain disruptions. (English) Zbl 07549385 INFORMS J. Comput. 34, No. 1, 407-426 (2022). MSC: 90B80 90B25 PDF BibTeX XML Cite \textit{Y. Li} et al., INFORMS J. Comput. 34, No. 1, 407--426 (2022; Zbl 07549385) Full Text: DOI OpenURL
Biefel, Christian; Liers, Frauke; Rolfes, Jan; Schewe, Lars; Zöttl, Gregor Robust market equilibria under uncertain cost. (English) Zbl 07538193 Eur. J. Oper. Res. 302, No. 3, 1230-1241 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{C. Biefel} et al., Eur. J. Oper. Res. 302, No. 3, 1230--1241 (2022; Zbl 07538193) Full Text: DOI OpenURL
Chen, Xiaowei; Huang, Fuzhe; Li, Xiufang Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model. (English) Zbl 07511758 Stoch. Models 38, No. 2, 167-189 (2022). MSC: 91G10 49L20 60H30 PDF BibTeX XML Cite \textit{X. Chen} et al., Stoch. Models 38, No. 2, 167--189 (2022; Zbl 07511758) Full Text: DOI OpenURL
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang Distributionally robust portfolio optimization with linearized STARR performance measure. (English) Zbl 1484.91427 Quant. Finance 22, No. 1, 113-127 (2022). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{R. Ji} et al., Quant. Finance 22, No. 1, 113--127 (2022; Zbl 1484.91427) Full Text: DOI OpenURL
Xie, Weijun; Ahmed, Shabbir; Jiang, Ruiwei Optimized Bonferroni approximations of distributionally robust joint chance constraints. (English) Zbl 07495383 Math. Program. 191, No. 1 (B), 79-112 (2022). MSC: 90C17 90C11 PDF BibTeX XML Cite \textit{W. Xie} et al., Math. Program. 191, No. 1 (B), 79--112 (2022; Zbl 07495383) Full Text: DOI OpenURL
Shang, Chao; Wang, Chao; You, Keyou; Huang, Dexian Distributionally robust chance constraint with unimodality-skewness information and conic reformulation. (English) Zbl 07487783 Oper. Res. Lett. 50, No. 2, 176-183 (2022). MSC: 90-XX PDF BibTeX XML Cite \textit{C. Shang} et al., Oper. Res. Lett. 50, No. 2, 176--183 (2022; Zbl 07487783) Full Text: DOI OpenURL
Lassance, Nathan; DeMiguel, Victor; Vrins, Frédéric Optimal portfolio diversification via independent component analysis. (English) Zbl 1484.91431 Oper. Res. 70, No. 1, 55-72 (2022). MSC: 91G10 62P05 62H25 PDF BibTeX XML Cite \textit{N. Lassance} et al., Oper. Res. 70, No. 1, 55--72 (2022; Zbl 1484.91431) Full Text: DOI OpenURL
Lin, Fengming; Fang, Xiaolei; Gao, Zheming Distributionally robust optimization. A review on theory and applications. (English) Zbl 1485.90083 Numer. Algebra Control Optim. 12, No. 1, 159-212 (2022). MSC: 90C17 90-02 90C47 90C90 PDF BibTeX XML Cite \textit{F. Lin} et al., Numer. Algebra Control Optim. 12, No. 1, 159--212 (2022; Zbl 1485.90083) Full Text: DOI OpenURL
Kanno, Yoshihiro Structural reliability under uncertainty in moments: distributionally-robust reliability-based design optimization. (English) Zbl 1484.90112 Japan J. Ind. Appl. Math. 39, No. 1, 195-226 (2022). MSC: 90C30 90C17 90C22 90C15 PDF BibTeX XML Cite \textit{Y. Kanno}, Japan J. Ind. Appl. Math. 39, No. 1, 195--226 (2022; Zbl 1484.90112) Full Text: DOI arXiv OpenURL
Lassance, Nathan Reconciling mean-variance portfolio theory with non-Gaussian returns. (English) Zbl 1487.91121 Eur. J. Oper. Res. 297, No. 2, 729-740 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{N. Lassance}, Eur. J. Oper. Res. 297, No. 2, 729--740 (2022; Zbl 1487.91121) Full Text: DOI OpenURL
Sang, Peijun; Begen, Mehmet A.; Cao, Jiguo Appointment scheduling with a quantile objective. (English) Zbl 07485327 Comput. Oper. Res. 132, Article ID 105295, 20 p. (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{P. Sang} et al., Comput. Oper. Res. 132, Article ID 105295, 20 p. (2021; Zbl 07485327) Full Text: DOI OpenURL
Liu, Wei; Yang, Li; Yu, Bo KDE distributionally robust portfolio optimization with higher moment coherent risk. (English) Zbl 1478.90070 Ann. Oper. Res. 307, No. 1-2, 363-397 (2021). MSC: 90C15 90C25 91G10 90C47 PDF BibTeX XML Cite \textit{W. Liu} et al., Ann. Oper. Res. 307, No. 1--2, 363--397 (2021; Zbl 1478.90070) Full Text: DOI OpenURL
Joo, Young C.; Park, Sung Y. Tail risk measures and portfolio selection. (English) Zbl 1476.91151 Sriboonchitta, Songsak (ed.) et al., Behavioral predictive modeling in economics. Cham: Springer. Stud. Comput. Intell. 897, 117-139 (2021). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{Y. C. Joo} and \textit{S. Y. Park}, Stud. Comput. Intell. 897, 117--139 (2021; Zbl 1476.91151) Full Text: DOI OpenURL
Yan, Dawen; Zhang, Xiaohui; Wang, Mingzheng A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations. (English) Zbl 1476.91206 Ann. Oper. Res. 299, No. 1-2, 659-710 (2021). MSC: 91G40 91B32 PDF BibTeX XML Cite \textit{D. Yan} et al., Ann. Oper. Res. 299, No. 1--2, 659--710 (2021; Zbl 1476.91206) Full Text: DOI OpenURL
Zhao, Kena; Ng, Tsan Sheng; Tan, Chin Hon; Pang, Chee Khiang An almost robust model for minimizing disruption exposures in supply systems. (English) Zbl 1487.90199 Eur. J. Oper. Res. 295, No. 2, 547-559 (2021). MSC: 90B06 90C15 90C17 PDF BibTeX XML Cite \textit{K. Zhao} et al., Eur. J. Oper. Res. 295, No. 2, 547--559 (2021; Zbl 1487.90199) Full Text: DOI OpenURL
Birmpa, Panagiota; Katsoulakis, Markos A. Uncertainty quantification for Markov random fields. (English) Zbl 1473.62197 SIAM/ASA J. Uncertain. Quantif. 9, 1457-1498 (2021). MSC: 62H22 82B20 94A17 PDF BibTeX XML Cite \textit{P. Birmpa} and \textit{M. A. Katsoulakis}, SIAM/ASA J. Uncertain. Quantif. 9, 1457--1498 (2021; Zbl 1473.62197) Full Text: DOI arXiv OpenURL
Sehgal, Ruchika; Mehra, Aparna Worst-case analysis of Gini mean difference safety measure. (English) Zbl 1476.91159 J. Ind. Manag. Optim. 17, No. 4, 1613-1637 (2021). MSC: 91G10 62G35 90C11 90C90 PDF BibTeX XML Cite \textit{R. Sehgal} and \textit{A. Mehra}, J. Ind. Manag. Optim. 17, No. 4, 1613--1637 (2021; Zbl 1476.91159) Full Text: DOI OpenURL
Peng, Shen; Lisser, Abdel; Singh, Vikas Vikram; Gupta, Nalin; Balachandar, Eshan Games with distributionally robust joint chance constraints. (English) Zbl 1471.91012 Optim. Lett. 15, No. 6, 1931-1953 (2021). MSC: 91A10 91B74 PDF BibTeX XML Cite \textit{S. Peng} et al., Optim. Lett. 15, No. 6, 1931--1953 (2021; Zbl 1471.91012) Full Text: DOI OpenURL
Gómez, Andrés Strong formulations for conic quadratic optimization with indicator variables. (English) Zbl 1470.90056 Math. Program. 188, No. 1(A), 193-226 (2021). MSC: 90C11 90C26 90C57 PDF BibTeX XML Cite \textit{A. Gómez}, Math. Program. 188, No. 1(A), 193--226 (2021; Zbl 1470.90056) Full Text: DOI OpenURL
Dhara, Anulekha; Das, Bikramjit; Natarajan, Karthik Worst-case expected shortfall with univariate and bivariate marginals. (English) Zbl 07362321 INFORMS J. Comput. 33, No. 1, 370-389 (2021). MSC: 90Cxx PDF BibTeX XML Cite \textit{A. Dhara} et al., INFORMS J. Comput. 33, No. 1, 370--389 (2021; Zbl 07362321) Full Text: DOI arXiv OpenURL
Pei, Zi-ting; Wang, Xi-shun; Xu, Yu-hong; Yue, Xing-ye A worst-case risk measure by G-VaR. (English) Zbl 1471.91627 Acta Math. Appl. Sin., Engl. Ser. 37, No. 2, 421-440 (2021). MSC: 91G70 91G10 60G65 PDF BibTeX XML Cite \textit{Z.-t. Pei} et al., Acta Math. Appl. Sin., Engl. Ser. 37, No. 2, 421--440 (2021; Zbl 1471.91627) Full Text: DOI OpenURL
Xie, Weijun On distributionally robust chance constrained programs with Wasserstein distance. (English) Zbl 1459.90141 Math. Program. 186, No. 1-2 (A), 115-155 (2021). MSC: 90C17 90C47 90C11 PDF BibTeX XML Cite \textit{W. Xie}, Math. Program. 186, No. 1--2 (A), 115--155 (2021; Zbl 1459.90141) Full Text: DOI arXiv OpenURL
Lasserre, Jean B.; Weisser, Tillmann Distributionally robust polynomial chance-constraints under mixture ambiguity sets. (English) Zbl 1469.41005 Math. Program. 185, No. 1-2 (A), 409-453 (2021). Reviewer: Ctirad Matonoha (Praha) MSC: 41A29 49M29 65D18 68T37 90C22 90C59 PDF BibTeX XML Cite \textit{J. B. Lasserre} and \textit{T. Weisser}, Math. Program. 185, No. 1--2 (A), 409--453 (2021; Zbl 1469.41005) Full Text: DOI arXiv OpenURL
Ding, Ke-Wei; Huang, Nan-Jing; Xiao, Yi-Bin Distributionally robust chance constrained problems under general moments information. (English) Zbl 1476.90214 J. Ind. Manag. Optim. 16, No. 6, 2923-2942 (2020). MSC: 90C15 90C25 PDF BibTeX XML Cite \textit{K.-W. Ding} et al., J. Ind. Manag. Optim. 16, No. 6, 2923--2942 (2020; Zbl 1476.90214) Full Text: DOI OpenURL
Won, Joong-Ho; Kim, Seung-Jean Robust trade-off portfolio selection. (English) Zbl 1457.91353 Optim. Eng. 21, No. 3, 867-904 (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 90C22 PDF BibTeX XML Cite \textit{J.-H. Won} and \textit{S.-J. Kim}, Optim. Eng. 21, No. 3, 867--904 (2020; Zbl 1457.91353) Full Text: DOI OpenURL
Atamtürk, Alper; Deck, Carlos; Jeon, Hyemin Successive quadratic upper-bounding for discrete mean-risk minimization and network interdiction. (English) Zbl 1474.90325 INFORMS J. Comput. 32, No. 2, 346-355 (2020). MSC: 90C25 90B15 PDF BibTeX XML Cite \textit{A. Atamtürk} et al., INFORMS J. Comput. 32, No. 2, 346--355 (2020; Zbl 1474.90325) Full Text: DOI arXiv OpenURL
Xidonas, Panos; Steuer, Ralph; Hassapis, Christis Robust portfolio optimization: a categorized bibliographic review. (English) Zbl 1456.90120 Ann. Oper. Res. 292, No. 1, 533-552 (2020). MSC: 90C17 91G10 PDF BibTeX XML Cite \textit{P. Xidonas} et al., Ann. Oper. Res. 292, No. 1, 533--552 (2020; Zbl 1456.90120) Full Text: DOI OpenURL
Leyffer, Sven; Vanaret, Charlie An augmented Lagrangian filter method. (English) Zbl 1454.90088 Math. Methods Oper. Res. 92, No. 2, 343-376 (2020). MSC: 90C30 PDF BibTeX XML Cite \textit{S. Leyffer} and \textit{C. Vanaret}, Math. Methods Oper. Res. 92, No. 2, 343--376 (2020; Zbl 1454.90088) Full Text: DOI OpenURL
Atamtürk, Alper; Gómez, Andrés Submodularity in conic quadratic mixed 0-1 optimization. (English) Zbl 1456.90106 Oper. Res. 68, No. 2, 609-630 (2020). MSC: 90C11 90C20 90C17 PDF BibTeX XML Cite \textit{A. Atamtürk} and \textit{A. Gómez}, Oper. Res. 68, No. 2, 609--630 (2020; Zbl 1456.90106) Full Text: DOI arXiv OpenURL
Xie, Weijun; Ahmed, Shabbir Bicriteria approximation of chance-constrained covering problems. (English) Zbl 1456.90117 Oper. Res. 68, No. 2, 516-533 (2020). MSC: 90C15 90C17 90C59 PDF BibTeX XML Cite \textit{W. Xie} and \textit{S. Ahmed}, Oper. Res. 68, No. 2, 516--533 (2020; Zbl 1456.90117) Full Text: DOI OpenURL
Ghosal, Shubhechyya; Wiesemann, Wolfram The distributionally robust chance-constrained vehicle routing problem. (English) Zbl 1445.90009 Oper. Res. 68, No. 3, 716-732 (2020). MSC: 90B06 90C17 90B36 90C57 PDF BibTeX XML Cite \textit{S. Ghosal} and \textit{W. Wiesemann}, Oper. Res. 68, No. 3, 716--732 (2020; Zbl 1445.90009) Full Text: DOI Link OpenURL
Yang, Han; Yue, Jia; Huang, Nan-jing Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration. (English) Zbl 1449.91136 J. Ind. Manag. Optim. 16, No. 2, 759-775 (2020). MSC: 91G10 91G60 91G70 PDF BibTeX XML Cite \textit{H. Yang} et al., J. Ind. Manag. Optim. 16, No. 2, 759--775 (2020; Zbl 1449.91136) Full Text: DOI OpenURL
Fridman, Ilia; Pesch, Erwin; Shafransky, Yakov Minimizing maximum cost for a single machine under uncertainty of processing times. (English) Zbl 1443.90178 Eur. J. Oper. Res. 286, No. 2, 444-457 (2020). MSC: 90B35 PDF BibTeX XML Cite \textit{I. Fridman} et al., Eur. J. Oper. Res. 286, No. 2, 444--457 (2020; Zbl 1443.90178) Full Text: DOI OpenURL
Ling, Aifan; Sun, Jie; Wang, Meihua Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set. (English) Zbl 1441.91069 Eur. J. Oper. Res. 285, No. 1, 81-95 (2020). MSC: 91G10 90C15 PDF BibTeX XML Cite \textit{A. Ling} et al., Eur. J. Oper. Res. 285, No. 1, 81--95 (2020; Zbl 1441.91069) Full Text: DOI Link OpenURL
Scholz, Roland W.; Czichos, Reiner; Parycek, Peter; Lampoltshammer, Thomas J. Organizational vulnerability of digital threats: a first validation of an assessment method. (English) Zbl 1430.90416 Eur. J. Oper. Res. 282, No. 2, 627-643 (2020). MSC: 90C08 90B90 PDF BibTeX XML Cite \textit{R. W. Scholz} et al., Eur. J. Oper. Res. 282, No. 2, 627--643 (2020; Zbl 1430.90416) Full Text: DOI OpenURL
Kang, Zhilin; Zhao, Linhai; Sun, Jingyun The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors. (English) Zbl 07566380 Physica A 526, Article ID 120778, 10 p. (2019). MSC: 82-XX 91G10 91B30 90C90 PDF BibTeX XML Cite \textit{Z. Kang} et al., Physica A 526, Article ID 120778, 10 p. (2019; Zbl 07566380) Full Text: DOI OpenURL
Dai, Zhifeng; Wang, Fei Sparse and robust mean-variance portfolio optimization problems. (English) Zbl 07563462 Physica A 523, 1371-1378 (2019). MSC: 82-XX PDF BibTeX XML Cite \textit{Z. Dai} and \textit{F. Wang}, Physica A 523, 1371--1378 (2019; Zbl 07563462) Full Text: DOI OpenURL
Chen, Zhi; Sim, Melvyn; Xu, Huan Distributionally robust optimization with infinitely constrained ambiguity sets. (English) Zbl 1455.90117 Oper. Res. 67, No. 5, 1328-1344 (2019). MSC: 90C17 90C15 PDF BibTeX XML Cite \textit{Z. Chen} et al., Oper. Res. 67, No. 5, 1328--1344 (2019; Zbl 1455.90117) Full Text: DOI Link OpenURL
Dai, Zhifeng A closer look at the minimum-variance portfolio optimization model. (English) Zbl 1435.91169 Math. Probl. Eng. 2019, Article ID 1452762, 8 p. (2019). MSC: 91G10 90C20 62P05 PDF BibTeX XML Cite \textit{Z. Dai}, Math. Probl. Eng. 2019, Article ID 1452762, 8 p. (2019; Zbl 1435.91169) Full Text: DOI OpenURL
Atamtürk, Alper; Gómez, Andrés Simplex QP-based methods for minimizing a conic quadratic objective over polyhedra. (English) Zbl 1435.90097 Math. Program. Comput. 11, No. 2, 311-340 (2019). MSC: 90C20 90C49 90C11 PDF BibTeX XML Cite \textit{A. Atamtürk} and \textit{A. Gómez}, Math. Program. Comput. 11, No. 2, 311--340 (2019; Zbl 1435.90097) Full Text: DOI arXiv OpenURL
Plachel, Lukas A unified model for regularized and robust portfolio optimization. (English) Zbl 1425.91391 J. Econ. Dyn. Control 109, Article ID 103779, 23 p. (2019). MSC: 91G10 62P05 62H12 PDF BibTeX XML Cite \textit{L. Plachel}, J. Econ. Dyn. Control 109, Article ID 103779, 23 p. (2019; Zbl 1425.91391) Full Text: DOI OpenURL
Chen, Zhiping; Mei, Yu; Liu, Jia Multivariate robust second-order stochastic dominance and resulting risk-averse optimization. (English) Zbl 1427.49027 Optimization 68, No. 9, 1719-1747 (2019). MSC: 49K45 49M25 PDF BibTeX XML Cite \textit{Z. Chen} et al., Optimization 68, No. 9, 1719--1747 (2019; Zbl 1427.49027) Full Text: DOI OpenURL
Momen, Omid; Esfahanipour, Akbar; Seifi, Abbas Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts. (English) Zbl 1420.91428 Quant. Finance 19, No. 2, 265-275 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{O. Momen} et al., Quant. Finance 19, No. 2, 265--275 (2019; Zbl 1420.91428) Full Text: DOI OpenURL
Gong, Zhaohua; Liu, Chongyang; Sun, Jie; Teo, Kok Lay Distributionally robust \(L_1\)-estimation in multiple linear regression. (English) Zbl 1425.90120 Optim. Lett. 13, No. 4, 935-947 (2019). MSC: 90C34 62J05 PDF BibTeX XML Cite \textit{Z. Gong} et al., Optim. Lett. 13, No. 4, 935--947 (2019; Zbl 1425.90120) Full Text: DOI OpenURL
Atamtürk, Alper; Jeon, Hyemin Lifted polymatroid inequalities for mean-risk optimization with indicator variables. (English) Zbl 1422.90024 J. Glob. Optim. 73, No. 4, 677-699 (2019). MSC: 90C10 90C26 PDF BibTeX XML Cite \textit{A. Atamtürk} and \textit{H. Jeon}, J. Glob. Optim. 73, No. 4, 677--699 (2019; Zbl 1422.90024) Full Text: DOI arXiv OpenURL
Qian, Peng-Yu; Wang, Zi-Zhuo; Wen, Zai-Wen A composite risk measure framework for decision making under uncertainty. (English) Zbl 1424.90141 J. Oper. Res. Soc. China 7, No. 1, 43-68 (2019). MSC: 90B50 90C15 91B06 91B30 PDF BibTeX XML Cite \textit{P.-Y. Qian} et al., J. Oper. Res. Soc. China 7, No. 1, 43--68 (2019; Zbl 1424.90141) Full Text: DOI arXiv OpenURL
Liu, Jia; Chen, Zhiping; Lisser, Abdel; Xu, Zhujia Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance. (English) Zbl 1417.49032 Appl. Math. Optim. 79, No. 3, 671-693 (2019). MSC: 49L20 PDF BibTeX XML Cite \textit{J. Liu} et al., Appl. Math. Optim. 79, No. 3, 671--693 (2019; Zbl 1417.49032) Full Text: DOI OpenURL
Li, Bowen; Jiang, Ruiwei; Mathieu, Johanna L. Ambiguous risk constraints with moment and unimodality information. (English) Zbl 1410.90139 Math. Program. 173, No. 1-2 (A), 151-192 (2019). MSC: 90C15 90C22 90C34 PDF BibTeX XML Cite \textit{B. Li} et al., Math. Program. 173, No. 1--2 (A), 151--192 (2019; Zbl 1410.90139) Full Text: DOI OpenURL
Goel, Anubha; Sharma, Amita; Mehra, Aparna Robust optimization of mixed CVaR STARR ratio using copulas. (English) Zbl 1407.62384 J. Comput. Appl. Math. 347, 62-83 (2019). MSC: 62P05 62M10 91G10 91G70 62H05 PDF BibTeX XML Cite \textit{A. Goel} et al., J. Comput. Appl. Math. 347, 62--83 (2019; Zbl 1407.62384) Full Text: DOI OpenURL
Li, Jonathan Yu-Meng Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization. (English) Zbl 1455.91238 Oper. Res. 66, No. 6, 1533-1541 (2018). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{J. Y. M. Li}, Oper. Res. 66, No. 6, 1533--1541 (2018; Zbl 1455.91238) Full Text: DOI OpenURL
Chan, Timothy C. Y.; Shen, Zuo-Jun Max; Siddiq, Auyon Robust defibrillator deployment under cardiac arrest location uncertainty via row-and-column generation. (English) Zbl 1442.90115 Oper. Res. 66, No. 2, 358-379 (2018). MSC: 90B80 90B50 90C17 90C11 PDF BibTeX XML Cite \textit{T. C. Y. Chan} et al., Oper. Res. 66, No. 2, 358--379 (2018; Zbl 1442.90115) Full Text: DOI arXiv OpenURL
Ben-Ameur, Walid; Ouorou, Adam; Wang, Guanglei; Żotkiewicz, Mateusz Multipolar robust optimization. (English) Zbl 1430.90438 EURO J. Comput. Optim. 6, No. 4, 395-434 (2018). Reviewer: I. M. Stancu-Minasian (Bucureşti) MSC: 90C15 90C99 PDF BibTeX XML Cite \textit{W. Ben-Ameur} et al., EURO J. Comput. Optim. 6, No. 4, 395--434 (2018; Zbl 1430.90438) Full Text: DOI arXiv OpenURL
Pınar, Mustafa Ç. Robust trading mechanisms over 0/1 polytopes. (English) Zbl 1421.90090 J. Comb. Optim. 36, No. 3, 845-860 (2018). MSC: 90C10 PDF BibTeX XML Cite \textit{M. Ç. Pınar}, J. Comb. Optim. 36, No. 3, 845--860 (2018; Zbl 1421.90090) Full Text: DOI Link OpenURL
Liu, Qiang; Wu, Jia; Xiao, Xiantao; Zhang, Liwei A note on distributionally robust optimization under moment uncertainty. (English) Zbl 06989836 J. Numer. Math. 26, No. 3, 141-150 (2018). MSC: 65-XX 90C30 PDF BibTeX XML Cite \textit{Q. Liu} et al., J. Numer. Math. 26, No. 3, 141--150 (2018; Zbl 06989836) Full Text: DOI OpenURL
Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. Recent advancements in robust optimization for investment management. (English) Zbl 1400.90234 Ann. Oper. Res. 266, No. 1-2, 183-198 (2018). MSC: 90C15 90C47 91G10 PDF BibTeX XML Cite \textit{J. H. Kim} et al., Ann. Oper. Res. 266, No. 1--2, 183--198 (2018; Zbl 1400.90234) Full Text: DOI OpenURL
Wang, Guanglei; Hijazi, Hassan Mathematical programming methods for microgrid design and operations: a survey on deterministic and stochastic approaches. (English) Zbl 1409.90153 Comput. Optim. Appl. 71, No. 2, 553-608 (2018). MSC: 90C26 PDF BibTeX XML Cite \textit{G. Wang} and \textit{H. Hijazi}, Comput. Optim. Appl. 71, No. 2, 553--608 (2018; Zbl 1409.90153) Full Text: DOI OpenURL
Dinh, Thai; Fukasawa, Ricardo; Luedtke, James Exact algorithms for the chance-constrained vehicle routing problem. (English) Zbl 1406.90079 Math. Program. 172, No. 1-2 (B), 105-138 (2018). MSC: 90C10 90C15 90B06 PDF BibTeX XML Cite \textit{T. Dinh} et al., Math. Program. 172, No. 1--2 (B), 105--138 (2018; Zbl 1406.90079) Full Text: DOI OpenURL
Cornilly, D.; Rüschendorf, L.; Vanduffel, Steven Upper bounds for strictly concave distortion risk measures on moment spaces. (English) Zbl 1416.91167 Insur. Math. Econ. 82, 141-151 (2018). MSC: 91B30 91G70 62P05 PDF BibTeX XML Cite \textit{D. Cornilly} et al., Insur. Math. Econ. 82, 141--151 (2018; Zbl 1416.91167) Full Text: DOI OpenURL
Yang, Insoon A dynamic game approach to distributionally robust safety specifications for stochastic systems. (English) Zbl 1400.93336 Automatica 94, 94-101 (2018). MSC: 93E20 91A25 93E03 90C39 90C34 PDF BibTeX XML Cite \textit{I. Yang}, Automatica 94, 94--101 (2018; Zbl 1400.93336) Full Text: DOI arXiv OpenURL
Farrokh, Mojtaba; Azar, Adel; Jandaghi, Gholamreza; Ahmadi, Ehsan A novel robust fuzzy stochastic programming for closed loop supply chain network design under hybrid uncertainty. (English) Zbl 1397.90057 Fuzzy Sets Syst. 341, 69-91 (2018). MSC: 90B06 90C15 90C70 PDF BibTeX XML Cite \textit{M. Farrokh} et al., Fuzzy Sets Syst. 341, 69--91 (2018; Zbl 1397.90057) Full Text: DOI OpenURL
Zhang, Yiling; Jiang, Ruiwei; Shen, Siqian Ambiguous chance-constrained binary programs under mean-covariance information. (English) Zbl 1401.90140 SIAM J. Optim. 28, No. 4, 2922-2944 (2018). MSC: 90C15 90C22 90C59 PDF BibTeX XML Cite \textit{Y. Zhang} et al., SIAM J. Optim. 28, No. 4, 2922--2944 (2018; Zbl 1401.90140) Full Text: DOI arXiv OpenURL
Xu, Guanglin; Burer, Samuel A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming. (English) Zbl 1397.90272 Comput. Manag. Sci. 15, No. 1, 111-134 (2018). MSC: 90C09 90C22 90C59 PDF BibTeX XML Cite \textit{G. Xu} and \textit{S. Burer}, Comput. Manag. Sci. 15, No. 1, 111--134 (2018; Zbl 1397.90272) Full Text: DOI arXiv OpenURL
Mohajerin Esfahani, Peyman; Kuhn, Daniel Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations. (English) Zbl 1433.90095 Math. Program. 171, No. 1-2 (A), 115-166 (2018). Reviewer: I. M. Stancu-Minasian (Bucureşti) MSC: 90C15 90C25 90C47 PDF BibTeX XML Cite \textit{P. Mohajerin Esfahani} and \textit{D. Kuhn}, Math. Program. 171, No. 1--2 (A), 115--166 (2018; Zbl 1433.90095) Full Text: DOI arXiv Link OpenURL
Ding, Ke-wei; Wang, Ming-hui; Huang, Nan-jing Distributionally robust chance constrained problem under interval distribution information. (English) Zbl 1396.90062 Optim. Lett. 12, No. 6, 1315-1328 (2018). MSC: 90C26 90C25 PDF BibTeX XML Cite \textit{K.-w. Ding} et al., Optim. Lett. 12, No. 6, 1315--1328 (2018; Zbl 1396.90062) Full Text: DOI OpenURL
Liu, Jia; Chen, Zhi-Ping; Hui, Yong-Chang Time consistent multi-period worst-case risk measure in robust portfolio selection. (English) Zbl 1413.91084 J. Oper. Res. Soc. China 6, No. 1, 139-158 (2018). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{J. Liu} et al., J. Oper. Res. Soc. China 6, No. 1, 139--158 (2018; Zbl 1413.91084) Full Text: DOI OpenURL
Nohadani, Omid; Sharma, Kartikey Optimization under decision-dependent uncertainty. (English) Zbl 1401.90117 SIAM J. Optim. 28, No. 2, 1773-1795 (2018). MSC: 90C05 90C15 PDF BibTeX XML Cite \textit{O. Nohadani} and \textit{K. Sharma}, SIAM J. Optim. 28, No. 2, 1773--1795 (2018; Zbl 1401.90117) Full Text: DOI arXiv OpenURL
Branda, Martin; Bucher, Max; Červinka, Michal; Schwartz, Alexandra Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization. (English) Zbl 1418.90252 Comput. Optim. Appl. 70, No. 2, 503-530 (2018). MSC: 90C30 91G10 PDF BibTeX XML Cite \textit{M. Branda} et al., Comput. Optim. Appl. 70, No. 2, 503--530 (2018; Zbl 1418.90252) Full Text: DOI arXiv OpenURL
Wang, Ximing; Fan, Neng; Pardalos, Panos M. Robust chance-constrained support vector machines with second-order moment information. (English) Zbl 1478.62181 Ann. Oper. Res. 263, No. 1-2, 45-68 (2018). MSC: 62H30 62G35 68T05 PDF BibTeX XML Cite \textit{X. Wang} et al., Ann. Oper. Res. 263, No. 1--2, 45--68 (2018; Zbl 1478.62181) Full Text: DOI OpenURL
Liu, Jia; Chen, Zhiping Time consistent multi-period robust risk measures and portfolio selection models with regime-switching. (English) Zbl 1403.91316 Eur. J. Oper. Res. 268, No. 1, 373-385 (2018). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{J. Liu} and \textit{Z. Chen}, Eur. J. Oper. Res. 268, No. 1, 373--385 (2018; Zbl 1403.91316) Full Text: DOI OpenURL
Babat, Onur; Vera, Juan C.; Zuluaga, Luis F. Computing near-optimal value-at-risk portfolios using integer programming techniques. (English) Zbl 1403.91303 Eur. J. Oper. Res. 266, No. 1, 304-315 (2018). MSC: 91G10 90C11 PDF BibTeX XML Cite \textit{O. Babat} et al., Eur. J. Oper. Res. 266, No. 1, 304--315 (2018; Zbl 1403.91303) Full Text: DOI arXiv OpenURL
Lotfi, Somayyeh; Zenios, Stavros A. Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances. (English) Zbl 1390.91335 Eur. J. Oper. Res. 269, No. 2, 556-576 (2018). MSC: 91G70 90C15 91G40 PDF BibTeX XML Cite \textit{S. Lotfi} and \textit{S. A. Zenios}, Eur. J. Oper. Res. 269, No. 2, 556--576 (2018; Zbl 1390.91335) Full Text: DOI OpenURL
Kang, Zhilin; Li, Zhongfei An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution. (English) Zbl 1388.91139 Math. Methods Oper. Res. 87, No. 2, 169-195 (2018). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{Z. Kang} and \textit{Z. Li}, Math. Methods Oper. Res. 87, No. 2, 169--195 (2018; Zbl 1388.91139) Full Text: DOI OpenURL
Yoshida, Yuji A dynamic average value-at-risk portfolio model with fuzzy random variables. (English) Zbl 1429.91298 Torra, Vicenç (ed.) et al., Fuzzy sets, rough sets, multisets and clustering. Cham: Springer. Stud. Comput. Intell. 671, 291-306 (2017). MSC: 91G10 90C70 PDF BibTeX XML Cite \textit{Y. Yoshida}, Stud. Comput. Intell. 671, 291--306 (2017; Zbl 1429.91298) Full Text: DOI OpenURL
Tian, Ruilin; Cox, Samuel H.; Zuluaga, Luis F. Moment problem and its applications to risk assessment. (English) Zbl 1414.91236 N. Am. Actuar. J. 21, No. 2, 242-266 (2017). MSC: 91B30 90C22 PDF BibTeX XML Cite \textit{R. Tian} et al., N. Am. Actuar. J. 21, No. 2, 242--266 (2017; Zbl 1414.91236) Full Text: DOI OpenURL
Lwin, Khin T.; Qu, Rong; MacCarthy, Bart L. Mean-VaR portfolio optimization: a nonparametric approach. (English) Zbl 1403.91317 Eur. J. Oper. Res. 260, No. 2, 751-766 (2017). MSC: 91G10 90C29 PDF BibTeX XML Cite \textit{K. T. Lwin} et al., Eur. J. Oper. Res. 260, No. 2, 751--766 (2017; Zbl 1403.91317) Full Text: DOI Link OpenURL
Yu, Jiajin; Ahmed, Shabbir Polyhedral results for a class of cardinality constrained submodular minimization problems. (English) Zbl 1387.90167 Discrete Optim. 24, 87-102 (2017). MSC: 90C11 90C30 90C57 PDF BibTeX XML Cite \textit{J. Yu} and \textit{S. Ahmed}, Discrete Optim. 24, 87--102 (2017; Zbl 1387.90167) Full Text: DOI OpenURL
Hanasusanto, Grani A.; Roitch, Vladimir; Kuhn, Daniel; Wiesemann, Wolfram Ambiguous joint chance constraints under mean and dispersion information. (English) Zbl 1387.90271 Oper. Res. 65, No. 3, 751-767 (2017). MSC: 90C47 90C15 PDF BibTeX XML Cite \textit{G. A. Hanasusanto} et al., Oper. Res. 65, No. 3, 751--767 (2017; Zbl 1387.90271) Full Text: DOI Link OpenURL
Asimit, Alexandru V.; Bignozzi, Valeria; Cheung, Ka Chun; Hu, Junlei; Kim, Eun-Seok Robust and Pareto optimality of insurance contracts. (English) Zbl 1376.91097 Eur. J. Oper. Res. 262, No. 2, 720-732 (2017). MSC: 91B30 90C29 91G70 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Eur. J. Oper. Res. 262, No. 2, 720--732 (2017; Zbl 1376.91097) Full Text: DOI OpenURL
Singh, Vikas Vikram; Jouini, Oualid; Lisser, Abdel Distributionally robust chance-constrained games: existence and characterization of Nash equilibrium. (English) Zbl 1411.91021 Optim. Lett. 11, No. 7, 1385-1405 (2017). MSC: 91A06 90C22 PDF BibTeX XML Cite \textit{V. V. Singh} et al., Optim. Lett. 11, No. 7, 1385--1405 (2017; Zbl 1411.91021) Full Text: DOI OpenURL
Gao, Siyang; Xiao, Hui; Zhou, Enlu; Chen, Weiwei Robust ranking and selection with optimal computing budget allocation. (English) Zbl 1372.93217 Automatica 81, 30-36 (2017). MSC: 93E20 93E03 93A30 93B35 PDF BibTeX XML Cite \textit{S. Gao} et al., Automatica 81, 30--36 (2017; Zbl 1372.93217) Full Text: DOI OpenURL
Sharma, Amita; Utz, Sebastian; Mehra, Aparna Omega-CVaR portfolio optimization and its worst case analysis. (English) Zbl 1367.91203 OR Spectrum 39, No. 2, 505-539 (2017). MSC: 91G70 90C05 91G10 PDF BibTeX XML Cite \textit{A. Sharma} et al., OR Spectrum 39, No. 2, 505--539 (2017; Zbl 1367.91203) Full Text: DOI OpenURL
Park, Kyungchul; Lee, Kyungsik Distribution-robust loss-averse optimization. (English) Zbl 1373.90088 Optim. Lett. 11, No. 1, 153-163 (2017). MSC: 90C15 90C47 PDF BibTeX XML Cite \textit{K. Park} and \textit{K. Lee}, Optim. Lett. 11, No. 1, 153--163 (2017; Zbl 1373.90088) Full Text: DOI OpenURL
Sengupta, Raghu Nandan; Kumar, Rakesh Robust and reliable portfolio optimization formulation of a chance constrained problem. (English) Zbl 1366.91145 Found. Comput. Decis. Sci. 42, No. 1, 83-117 (2017). MSC: 91G10 90C22 91G70 PDF BibTeX XML Cite \textit{R. N. Sengupta} and \textit{R. Kumar}, Found. Comput. Decis. Sci. 42, No. 1, 83--117 (2017; Zbl 1366.91145) Full Text: DOI OpenURL
Liu, Yongchao; Meskarian, Rudabeh; Xu, Huifu Distributionally robust reward-risk ratio optimization with moment constraints. (English) Zbl 1365.90179 SIAM J. Optim. 27, No. 2, 957-985 (2017). MSC: 90C15 90C34 90C47 PDF BibTeX XML Cite \textit{Y. Liu} et al., SIAM J. Optim. 27, No. 2, 957--985 (2017; Zbl 1365.90179) Full Text: DOI OpenURL
Kellner, Ralf; Rösch, Daniel Quantifying market risk with value-at-risk or expected shortfall? – Consequences for capital requirements and model risk. (English) Zbl 1401.91154 J. Econ. Dyn. Control 68, 45-63 (2016). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{R. Kellner} and \textit{D. Rösch}, J. Econ. Dyn. Control 68, 45--63 (2016; Zbl 1401.91154) Full Text: DOI OpenURL
Fernandes, Betina; Street, Alexandre; Valladão, Davi; Fernandes, Cristiano An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets. (English) Zbl 1394.90537 Eur. J. Oper. Res. 255, No. 3, 961-970 (2016). MSC: 90C31 91G10 90C15 90C05 91G80 PDF BibTeX XML Cite \textit{B. Fernandes} et al., Eur. J. Oper. Res. 255, No. 3, 961--970 (2016; Zbl 1394.90537) Full Text: DOI OpenURL
Zhang, Nan; Jin, Zhuo; Li, Shuanming; Chen, Ping Optimal reinsurance under dynamic VaR constraint. (English) Zbl 1371.91112 Insur. Math. Econ. 71, 232-243 (2016). MSC: 91B30 93E20 91G70 PDF BibTeX XML Cite \textit{N. Zhang} et al., Insur. Math. Econ. 71, 232--243 (2016; Zbl 1371.91112) Full Text: DOI Link OpenURL
Postek, Krzysztof; den Hertog, Dick; Melenberg, Bertrand Computationally tractable counterparts of distributionally robust constraints on risk measures. (English) Zbl 1349.90767 SIAM Rev. 58, No. 4, 603-650 (2016). MSC: 90C30 90C25 PDF BibTeX XML Cite \textit{K. Postek} et al., SIAM Rev. 58, No. 4, 603--650 (2016; Zbl 1349.90767) Full Text: DOI Link OpenURL
Ji, Xiaodong; Zhu, Shushang The convergence of set-valued scenario approach for downside risk minimization. (English) Zbl 1414.91342 J. Syst. Sci. Complex. 29, No. 3, 722-735 (2016). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{X. Ji} and \textit{S. Zhu}, J. Syst. Sci. Complex. 29, No. 3, 722--735 (2016; Zbl 1414.91342) Full Text: DOI OpenURL
Haskell, William B.; Fu, Lunce; Dessouky, Maged Ambiguity in risk preferences in robust stochastic optimization. (English) Zbl 1346.90638 Eur. J. Oper. Res. 254, No. 1, 214-225 (2016). MSC: 90C15 60E15 90B05 91G10 PDF BibTeX XML Cite \textit{W. B. Haskell} et al., Eur. J. Oper. Res. 254, No. 1, 214--225 (2016; Zbl 1346.90638) Full Text: DOI OpenURL
Jiang, Ruiwei; Guan, Yongpei Data-driven chance constrained stochastic program. (English) Zbl 1346.90640 Math. Program. 158, No. 1-2 (A), 291-327 (2016). MSC: 90C15 90C34 PDF BibTeX XML Cite \textit{R. Jiang} and \textit{Y. Guan}, Math. Program. 158, No. 1--2 (A), 291--327 (2016; Zbl 1346.90640) Full Text: DOI OpenURL
Kilianová, Soňa; Trnovská, Mária Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation. (English) Zbl 1342.90125 Int. J. Comput. Math. 93, No. 5, 725-734 (2016). MSC: 90C22 91B70 70H20 35K55 65M08 PDF BibTeX XML Cite \textit{S. Kilianová} and \textit{M. Trnovská}, Int. J. Comput. Math. 93, No. 5, 725--734 (2016; Zbl 1342.90125) Full Text: DOI OpenURL
Wang, Lei; Cheng, Xi Robust portfolio selection under norm uncertainty. (English) Zbl 1414.91354 J. Inequal. Appl. 2016, Paper No. 164, 10 p. (2016). MSC: 91G10 90C05 PDF BibTeX XML Cite \textit{L. Wang} and \textit{X. Cheng}, J. Inequal. Appl. 2016, Paper No. 164, 10 p. (2016; Zbl 1414.91354) Full Text: DOI OpenURL
Atamtürk, Alper; Bhardwaj, Avinash Supermodular covering knapsack polytope. (English) Zbl 1387.90127 Discrete Optim. 18, 74-86 (2015). MSC: 90C10 90C27 90C57 PDF BibTeX XML Cite \textit{A. Atamtürk} and \textit{A. Bhardwaj}, Discrete Optim. 18, 74--86 (2015; Zbl 1387.90127) Full Text: DOI OpenURL
Schillings, C.; Schulz, V. On the influence of robustness measures on shape optimization with stochastic uncertainties. (English) Zbl 1364.74084 Optim. Eng. 16, No. 2, 347-386 (2015). MSC: 74P15 90C90 PDF BibTeX XML Cite \textit{C. Schillings} and \textit{V. Schulz}, Optim. Eng. 16, No. 2, 347--386 (2015; Zbl 1364.74084) Full Text: DOI OpenURL
Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach. (English) Zbl 1346.91215 Eur. J. Oper. Res. 244, No. 1, 289-299 (2015). MSC: 91G10 90C90 PDF BibTeX XML Cite \textit{B. Maillet} et al., Eur. J. Oper. Res. 244, No. 1, 289--299 (2015; Zbl 1346.91215) Full Text: DOI OpenURL
Barrieu, Pauline; Scandolo, Giacomo Assessing financial model risk. (English) Zbl 1341.91086 Eur. J. Oper. Res. 242, No. 2, 546-556 (2015). MSC: 91B30 91G99 PDF BibTeX XML Cite \textit{P. Barrieu} and \textit{G. Scandolo}, Eur. J. Oper. Res. 242, No. 2, 546--556 (2015; Zbl 1341.91086) Full Text: DOI arXiv Link OpenURL