Andrzej Ruszczynski : Citation Profile


Are you Andrzej Ruszczynski?

14

H index

21

i10 index

772

Citations

RESEARCH PRODUCTION:

38

Articles

36

Papers

RESEARCH ACTIVITY:

   33 years (1987 - 2020). See details.
   Cites by year: 23
   Journals where Andrzej Ruszczynski has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 43 (5.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pru30
   Updated: 2022-08-13    RAS profile: 2021-03-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrzej Ruszczynski.

Is cited by:

Dentcheva, Darinka (17)

Lejeune, Miguel (14)

Laeven, Roger (12)

Ogryczak, Wlodzimierz (8)

Wong, Wing-Keung (8)

Shapiro, Alexander (6)

Stadje, Mitja (5)

Topaloglou, Nikolas (5)

Cillo, Alessandra (4)

SADEFO, Jules (4)

Gallardo, Mauricio (4)

Cites to:

Dentcheva, Darinka (16)

Ogryczak, Wlodzimierz (12)

Artzner, Philippe (10)

Birge, John (9)

Acerbi, Carlo (9)

Riedel, Frank (9)

Shapiro, Alexander (7)

Schied, Alexander (7)

Markowitz, Harry (6)

Stiglitz, Joseph (5)

Rothschild, Michael (5)

Main data


Where Andrzej Ruszczynski has published?


Journals with more than one article published# docs
European Journal of Operational Research8
Mathematics of Operations Research7
Operations Research7
Annals of Operations Research5
Mathematical Methods of Operations Research3
Journal of Optimization Theory and Applications2

Working Papers Series with more than one paper published# docs
Risk and Insurance / University Library of Munich, Germany3
GE, Growth, Math methods / University Library of Munich, Germany3
Papers / arXiv.org2

Recent works citing Andrzej Ruszczynski (2022 and 2021)


YearTitle of citing document
2021Scalar multivariate risk measures with a single eligible asset. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.10694.

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2021Time consistency for scalar multivariate risk measures. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.04978.

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2021Risk-averse optimal stopping under ambiguity and partial information. (2019). Moriarty, John ; Martyr, Randall . In: Papers. RePEc:arx:papers:1910.04047.

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2022Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time. (2020). Secomandi, Nicola. In: Papers. RePEc:arx:papers:2001.05788.

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2022Markov risk mappings and risk-averse optimal stopping under ambiguity. (2020). Moriarty, John ; Martyr, Randall. In: Papers. RePEc:arx:papers:2001.06895.

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2021Quantification of Risk in Classical Models of Finance. (2020). Schlotter, Ruben ; Pichler, Alois. In: Papers. RePEc:arx:papers:2004.04397.

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2021Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802.

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2022Automatic Fatou Property of Law-invariant Risk Measures. (2021). Li, Lei ; Leung, Denny ; Gao, Niushan ; Chen, Shengzhong. In: Papers. RePEc:arx:papers:2107.08109.

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2021Unification of different systemic risk measures and Aumann-Shapley allocations. (2021). Schindler, Florian ; Overbeck, Ludger. In: Papers. RePEc:arx:papers:2112.06534.

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2021Doubly-Valid/Doubly-Sharp Sensitivity Analysis for Causal Inference with Unmeasured Confounding. (2021). Kallus, Nathan ; Guo, Kevin ; Dorn, Jacob. In: Papers. RePEc:arx:papers:2112.11449.

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2022Treatment Effect Risk: Bounds and Inference. (2022). Kallus, Nathan. In: Papers. RePEc:arx:papers:2201.05893.

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2022A discussion of stochastic dominance and mean-CVaR optimal portfolio problems based on mean-variance-mixture models. (2022). Sayit, Hasanjan. In: Papers. RePEc:arx:papers:2202.02488.

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2022Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610.

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2022Robust and Agnostic Learning of Conditional Distributional Treatment Effects. (2022). Oprescu, Miruna ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2205.11486.

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2022Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty. (2022). Cialenco, Igor ; Bielecki, Tomasz R ; Ruszczy, Andrzej. In: Papers. RePEc:arx:papers:2206.09235.

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2021Mean–Variance Hedging for Production Planning with Multiple Products. (2021). Wang, Liao. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:10:p:3497-3522.

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2021Hybrid stochastic robust optimization and robust optimization for energy planning – A social impact-constrained case study. (2021). Morita, Hiroshi ; Ratanakuakangwan, Sudlop. In: Applied Energy. RePEc:eee:appene:v:298:y:2021:i:c:s0306261921006784.

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2022Measuring vulnerability to multidimensional poverty with Bayesian network classifiers. (2022). Gallardo, Mauricio. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:492-512.

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2021Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming. (2021). Shapiro, Alexander. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:1-13.

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2021Gas storage valuation in incomplete markets. (2021). Wozabal, David ; Lohndorf, Nils. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:318-330.

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2021Orientational variable-length strip covering problem: A branch-and-price-based algorithm. (2021). Zhu, Waiming ; Wu, YI ; Zhi, Yanling ; An, BO ; Ma, Huawei. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:254-269.

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2021Approximate dynamic programming for the military aeromedical evacuation dispatching, preemption-rerouting, and redeployment problem. (2021). Lunday, Brian J ; Robbins, Matthew J ; Jenkins, Phillip R. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:132-143.

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2021Implementing the branch-and-cut approach for a general purpose Benders’ decomposition framework. (2021). Maher, Stephen J. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:2:p:479-498.

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2021An online algorithm for the risk-aware restless bandit. (2021). Tang, OU ; Chen, Lujie ; Xu, Jianyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:2:p:622-639.

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2021Second order of stochastic dominance efficiency vs mean variance efficiency. (2021). Truck, Stefan ; Lozza, Sergio Ortobelli ; Malavasi, Matteo. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1192-1206.

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2021Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures. (2021). Laeven, Roger ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:438-446.

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2021Selective linearization for multi-block statistical learning. (2021). Ruszczyski, Andrzej ; Pham, Minh ; Lin, Xiaodong ; Du, YU. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:219-228.

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2021On sales effort and pricing decisions under alternative risk criteria. (2021). Qi, Xiangtong ; Li, Xiang. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:603-614.

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2021Robust strategic planning for mobile medical units with steerable and unsteerable demands. (2021). Comis, Martin ; Busing, Christina ; Streicher, Manuel ; Schmidt, Eva. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:34-50.

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2021Diversification benefits in the cryptocurrency market under mild explosivity. (2021). Arvanitis, Stelios ; Anyfantaki, Sofia ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:378-393.

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2022A robust optimization approach with probe-able uncertainty. (2022). Lee, Chungmok. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:1:p:218-239.

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2022A complementarity model for electric power transmission-distribution coordination under uncertainty. (2022). Kazempour, Jalal ; Ostergaard, Jacob ; Jensen, Tue Vissing ; Hermann, Alexander. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:1:p:313-329.

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2022Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation. (2022). Haight, Robert G ; Buyuktahtakin, Esra ; Bushaj, Sabah. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:1094-1110.

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2022Tight tail probability bounds for distribution-free decision making. (2022). , Johan ; den Hertog, Dick ; van Eekelen, Wouter ; Brekelmans, Ruud ; Roos, Ernst. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:931-944.

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2021Climate risk and financial stability in the network of banks and investment funds. (2021). Martinez-Jaramillo, Serafin ; Luis , ; Battiston, Stefano ; Roncoroni, Alan. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000309.

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2022Optimal portfolio choice for higher-order risk averters. (2022). Post, Thierry ; Fang, YI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426622000292.

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2021On pricing and quality decisions with risk aversion. (2021). Qi, Xiangtong ; Li, Xiang. In: Omega. RePEc:eee:jomega:v:98:y:2021:i:c:s0305048318314579.

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2021Stochastic sensitivity and dynamical complexity of newsvendor models subject to trade credit. (2021). Zhou, Yong-Wu ; Zhang, Tonghua ; Chen, Jianxin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:181:y:2021:i:c:p:471-486.

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2021A review of approximate dynamic programming applications within military operations research. (2021). Cai, J ; Rempel, M. In: Operations Research Perspectives. RePEc:eee:oprepe:v:8:y:2021:i:c:s2214716021000221.

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2021Inventory strategy of the risk averse supplier and overconfident manufacturer with uncertain demand. (2021). Zhang, Guoqing ; Zhao, Ruiqing ; Tang, Wansheng ; Song, Zhuzhu. In: International Journal of Production Economics. RePEc:eee:proeco:v:234:y:2021:i:c:s0925527321000426.

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2021Designing a reliable electric vehicle charging station expansion under uncertainty. (2021). Castillo-Villar, Krystel K ; Ekiolu, Sandra D ; Marufuzzaman, Mohammad ; Shahvari, Omid ; Quddus, Md Abdul. In: International Journal of Production Economics. RePEc:eee:proeco:v:236:y:2021:i:c:s0925527321001080.

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2022A consignment contract with revenue sharing between an app developer and a distribution platform. (2022). Perlman, Yael ; Meilijson, Isaac ; Chernonog, Tatyana ; Avinadav, Tal. In: International Journal of Production Economics. RePEc:eee:proeco:v:243:y:2022:i:c:s092552732100298x.

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2021Using multivariate stochastic dominance to enhance portfolio selection and warn of financial crises. (2021). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:480-493.

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2021Robust network design for sustainable-resilient reverse logistics network using big data: A case study of end-of-life vehicles. (2021). Gholizadeh, Hadi ; Govindan, Kannan. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:149:y:2021:i:c:s1366554521000545.

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2021Approximate Dynamic Programming for Military Medical Evacuation Dispatching Policies. (2021). Robbins, Matthew J ; Jenkins, Phillip R ; Lunday, Brian J. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:33:y:2021:i:1:p:2-26.

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2021Multilocation Newsvendor Problem: Centralization and Inventory Pooling. (2021). Zhou, Sean X ; Hu, Zhenyu ; Yang, Chaolin. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:1:p:185-200.

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2021Set optimization of set-valued risk measures. (2021). Rocca, Matteo ; Mastrogiacomo, Elisa. In: Annals of Operations Research. RePEc:spr:annopr:v:296:y:2021:i:1:d:10.1007_s10479-020-03541-8.

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2021Evidence regarding external financing in manufacturing MSEs using partial least squares regression. (2021). Herteliu, Claudiu ; Ceptureanu, Sebastian. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03291-2.

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2021Variance reduction for sequential sampling in stochastic programming. (2021). Bayraksan, Guzin ; Stockbridge, Rebecca ; Park, Jangho. In: Annals of Operations Research. RePEc:spr:annopr:v:300:y:2021:i:1:d:10.1007_s10479-020-03908-x.

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2021On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return. (2021). SADEFO, Jules ; Fono, Louis Aime ; Kamdem, Jules Sadefo ; Tassak, Christian Deffo ; Dzuche, Justin. In: Annals of Operations Research. RePEc:spr:annopr:v:300:y:2021:i:2:d:10.1007_s10479-020-03873-5.

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2021Interval-based stochastic dominance: theoretical framework and application to portfolio choices. (2021). Liu, Jia ; Consigli, Giorgio ; Chen, Zhiping. In: Annals of Operations Research. RePEc:spr:annopr:v:307:y:2021:i:1:d:10.1007_s10479-021-04231-9.

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2021Gaining traction: on the convergence of an inner approximation scheme for probability maximization. (2021). Fabian, Csaba I. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:2:d:10.1007_s10100-020-00697-3.

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2022Performance measurement with expectiles. (2022). Rossello, Damiano. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-022-00369-8.

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2021Set-valued risk measures as backward stochastic difference inclusions and equations. (2021). Feinstein, Zachary ; Ararat, Ain. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00445-0.

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2021Lagrangian relaxation based heuristics for a chance-constrained optimization model of a hybrid solar-battery storage system. (2021). Knueven, Bernard ; Singh, Bismark. In: Journal of Global Optimization. RePEc:spr:jglopt:v:80:y:2021:i:4:d:10.1007_s10898-021-01041-y.

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2022Multi-stage portfolio selection problem with dynamic stochastic dominance constraints. (2022). Chen, Zhiping ; Mei, YU ; Ji, Bingbing ; Liu, Jia. In: Journal of Global Optimization. RePEc:spr:jglopt:v:83:y:2022:i:3:d:10.1007_s10898-021-01113-z.

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2021Stochastic Dynamic Cutting Plane for Multistage Stochastic Convex Programs. (2021). , Renato ; Guigues, Vincent. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:189:y:2021:i:2:d:10.1007_s10957-021-01842-x.

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2021A Stochastic Primal-Dual Method for Optimization with Conditional Value at Risk Constraints. (2021). Bose, Subhonmesh ; Madavan, Avinash N. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:190:y:2021:i:2:d:10.1007_s10957-021-01888-x.

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2022Risk minimisation using options and risky assets. (2022). Date, Paresh ; Roman, Diana ; Maasar, Mohd Azdi. In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:1:d:10.1007_s12351-020-00559-5.

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2022Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework. (2022). Selvaraju, N ; Mondal, Dipankar. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:44:y:2022:i:1:d:10.1007_s00291-021-00657-6.

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2021The effect of regularization in portfolio selection problems. (2021). Cifuentes, Arturo ; del Canto, Felipe ; Pagnoncelli, Bernardo K. In: TOP: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:topjnl:v:29:y:2021:i:1:d:10.1007_s11750-020-00578-7.

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Works by Andrzej Ruszczynski:


YearTitleTypeCited
2016Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems In: Papers.
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paper0
2020A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation In: Papers.
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paper1
2003Frontiers of Stochastically Nondominated Portfolios In: Econometrica.
[Citation analysis]
article18
1997Thirteenth EURO Summer Institute: Stochastic Optimization In: European Journal of Operational Research.
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article0
1997Accelerating the regularized decomposition method for two stage stochastic linear problems In: European Journal of Operational Research.
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article14
1999From stochastic dominance to mean-risk models: Semideviations as risk measures In: European Journal of Operational Research.
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article141
1997From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures..(1997) In: Working Papers.
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This paper has another version. Agregated cites: 141
paper
2005Beam search heuristic to solve stochastic integer problems under probabilistic constraints In: European Journal of Operational Research.
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article4
2008Risk-adjusted probability measures in portfolio optimization with coherent measures of risk In: European Journal of Operational Research.
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article20
2011A multi-product risk-averse newsvendor with exponential utility function In: European Journal of Operational Research.
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article31
2012Tractable Almost Stochastic Dominance In: European Journal of Operational Research.
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article21
1996Cost-effective sulphur emission reduction under uncertainty In: European Journal of Operational Research.
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article5
2006Portfolio optimization with stochastic dominance constraints In: Journal of Banking & Finance.
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article50
2006Portfolio Optimization With Stochastic Dominance Constraints.(2006) In: Finance.
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This paper has another version. Agregated cites: 50
paper
2000Noncooperative Convex Games: Computing Equilibrium by Partial Regularization. In: Norway; Department of Economics, University of Bergen.
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1994Noncooperative Convex Games: Computing Equilibrium By Partial Regularization..(1994) In: Working Papers.
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2006Computing Normalized Equilibria in Convex-Concave Games In: Working Papers in Economics.
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paper1
2006Computing Normalized Equilibria in Convex-Concave Games.(2006) In: Working Papers.
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2010Commentary ---Post-Decision States and Separable Approximations Are Powerful Tools of Approximate Dynamic Programming In: INFORMS Journal on Computing.
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article3
2002Practice Abstracts In: Interfaces.
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article0
1987A Linearization Method for Nonsmooth Stochastic Programming Problems In: Mathematics of Operations Research.
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article3
1995On Convergence of an Augmented Lagrangian Decomposition Method for Sparse Convex Optimization In: Mathematics of Operations Research.
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article2
2001Constraint Aggregation in Infinite-Dimensional Spaces and Applications In: Mathematics of Operations Research.
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article1
1997Constraint Aggregation in Infinite-Dimensional Spaces and Applications..(1997) In: Working Papers.
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This paper has another version. Agregated cites: 1
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2004Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems In: Mathematics of Operations Research.
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article29
2006Optimization of Convex Risk Functions In: Mathematics of Operations Research.
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article127
2005Optimization of Convex Risk Functions.(2005) In: Risk and Insurance.
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This paper has another version. Agregated cites: 127
paper
2006Conditional Risk Mappings In: Mathematics of Operations Research.
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article43
2005Conditional Risk Mappings.(2005) In: Risk and Insurance.
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This paper has another version. Agregated cites: 43
paper
2007Corrigendum to: “Optimization of Convex Risk Functions,” Mathematics of Operations Research 31 (2006) 433--452 In: Mathematics of Operations Research.
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article1
1995A New Scenario Decomposition Method for Large-Scale Stochastic Optimization In: Operations Research.
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article62
1998On Optimal Allocation of Indivisibles Under Uncertainty In: Operations Research.
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article15
1994On Optimal Allocation of Indivisibles Under Uncertainty..(1994) In: Working Papers.
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This paper has another version. Agregated cites: 15
paper
2002The Probabilistic Set-Covering Problem In: Operations Research.
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article10
2007An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems In: Operations Research.
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article12
2011Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition In: Operations Research.
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article10
2011A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk In: Operations Research.
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article24
2014Computational Methods for Risk-Averse Undiscounted Transient Markov Models In: Operations Research.
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2012Common mathematical foundations of expected utility and dual utility theories In: MPRA Paper.
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2017Statistical estimation of composite risk functionals and risk optimization problems In: Annals of the Institute of Statistical Mathematics.
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article1
2010Kusuoka representation of higher order dual risk measures In: Annals of Operations Research.
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article10
2012Stochastic modeling and optimization (in honor of András Prékopa’s 80th birthday) In: Annals of Operations Research.
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article1
2012Scenario decomposition of risk-averse multistage stochastic programming problems In: Annals of Operations Research.
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article11
2015Two-stage portfolio optimization with higher-order conditional measures of risk In: Annals of Operations Research.
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1999Some advances in decomposition methodsfor stochastic linear programming In: Annals of Operations Research.
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article2
2000Dynamics Aggregation in Stochastic Control Problems In: Journal of Optimization Theory and Applications.
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article0
2017Rate of Convergence of the Bundle Method In: Journal of Optimization Theory and Applications.
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article1
1998On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse In: Mathematical Methods of Operations Research.
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article2
2004Dual methods for probabilistic optimization problems * In: Mathematical Methods of Operations Research.
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article11
2018Risk measurement and risk-averse control of partially observable discrete-time Markov systems In: Mathematical Methods of Operations Research.
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article2
1997On Stochastic Dominance and Mean-Semideviation Models. In: Working Papers.
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paper4
1992Augmented Lagrangian Decomposition for Sparse Convex Optimization. In: Working Papers.
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paper0
1993Interior Point Methods in Stochastic Programming. In: Working Papers.
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paper0
1993Regularized Decomposition of Stochastic Programs: Algorithmic Techniques and Numerical Results. In: Working Papers.
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paper3
1993Configurations of Series-Parallel Networks with Maximum Reliability. In: Working Papers.
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1994On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs. In: Working Papers.
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