Andrzej Ruszczynski : Citation Profile


Are you Andrzej Ruszczynski?

15

H index

23

i10 index

863

Citations

RESEARCH PRODUCTION:

38

Articles

36

Papers

RESEARCH ACTIVITY:

   33 years (1987 - 2020). See details.
   Cites by year: 26
   Journals where Andrzej Ruszczynski has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 43 (4.75 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pru30
   Updated: 2024-07-05    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)

Laeven, Roger (16)

Lejeune, Miguel (14)

Wong, Wing-Keung (9)

Ogryczak, Wlodzimierz (8)

Shapiro, Alexander (7)

Stadje, Mitja (6)

Gallardo, Mauricio (5)

Topaloglou, Nikolas (5)

Owari, Keita (4)

SADEFO KAMDEM, Jules (4)

Cites to:

Dentcheva, Darinka (16)

Ogryczak, Wlodzimierz (14)

Riedel, Frank (10)

Artzner, Philippe (10)

Birge, John (9)

Acerbi, Carlo (9)

Schied, Alexander (9)

Shapiro, Alexander (8)

Markowitz, Harry (6)

Stiglitz, Joseph (5)

Scandolo, Giacomo (5)

Main data


Where Andrzej Ruszczynski has published?


Journals with more than one article published# docs
European Journal of Operational Research8
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 (2024 and 2023)


YearTitle of citing document
2023A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2023A 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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2024Sensitivity 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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2023Robust and Agnostic Learning of Conditional Distributional Treatment Effects. (2022). Oprescu, Miruna ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2205.11486.

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2023A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809.

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2024Best-Response dynamics in two-person random games with correlated payoffs. (2023). Scarsini, Marco ; Quattropani, Matteo ; Mimun, Hlafo Alfie. In: Papers. RePEc:arx:papers:2209.12967.

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2024Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158.

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2023The Newsvendor with Advice. (2023). Ravi, R ; Moseley, Benjamin ; Li, Andrew A ; An, Lin. In: Papers. RePEc:arx:papers:2305.07993.

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2023Time-Consistent Asset Allocation for Risk Measures in a L\evy Market. (2023). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2305.09471.

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2023Dynamic Return and Star-Shaped Risk Measures via BSDEs. (2023). Laeven, Roger ; Zullino, Marco ; Gianin, Emanuela Rosazza. In: Papers. RePEc:arx:papers:2307.03447.

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2023ESG-coherent risk measures for sustainable investing. (2023). Lindquist, Brent W ; Rachev, Svetlozar T ; Dentcheva, Darinka ; Giacometti, Rosella ; Torri, Gabriele. In: Papers. RePEc:arx:papers:2309.05866.

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2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

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2023A Rank-Dependent Theory for Decision under Risk and Ambiguity. (2023). Laeven, Roger ; Stadje, Mitja. In: Papers. RePEc:arx:papers:2312.05977.

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2024Higher order measures of risk and stochastic dominance. (2024). Pichler, Alois. In: Papers. RePEc:arx:papers:2402.15387.

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2024Subset SSD for enhanced indexation with sector constraints. (2024). Beasley, John E ; Valle, Cristiano Arbex. In: Papers. RePEc:arx:papers:2404.16777.

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2024A note on continuity and consistency of measures of risk and variability. (2024). Xanthos, Foivos ; Gao, Niushan. In: Papers. RePEc:arx:papers:2405.09766.

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2023Adjusted Rényi entropic Value-at-Risk. (2023). Hu, Taizhong ; Xia, Zichao ; Wu, Qinyu ; Zou, Zhenfeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:255-268.

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2023Bowley vs. Pareto optima in reinsurance contracting. (2023). Ghossoub, Mario ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:1:p:382-391.

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2023The Benders by batch algorithm: Design and stabilization of an enhanced algorithm to solve multicut Benders reformulation of two-stage stochastic programs. (2023). Ruiz, Manuel ; Froger, Aurelien ; Detienne, Boris ; Clautiaux, Franois ; Blanchot, Xavier. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:1:p:202-216.

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2023A bi-criteria moving-target travelling salesman problem under uncertainty. (2023). Kallio, Markku ; Maskooki, Alaleh. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:1:p:271-285.

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2023Approximate solutions to constrained risk-sensitive Markov decision processes. (2023). Bhat, Sanjay P ; Kumar, Uday M ; Hemachandra, Nandyala ; Kavitha, Veeraruna. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:249-267.

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2023Weather rebate contracts for different risk attitudes of supply chain members. (2023). Fang, L ; Wahab, M. I. M., ; Sarkar, P. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:1:p:139-153.

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2023Risk budgeting portfolios from simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Freitas B. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:3:p:1040-1056.

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2024Index policy for multiarmed bandit problem with dynamic risk measures. (2024). Avu, Ozlem ; Malekipirbazari, Milad. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:627-640.

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2024Newsvendor conditional value-at-risk minimisation: A feature-based approach under adaptive data selection. (2024). Zhu, Wenqi ; Liu, Congzheng. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:548-564.

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2024Constructing decision rules for multiproduct newsvendors: An integrated estimation-and-optimization framework. (2024). Olivares-Nadal, Alba V. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:1021-1037.

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2023A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081.

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2023How does a change in downside risk affect optimal demand for a risky asset?: Comparative statics on Tail Conditional Expectation. (2023). Nakamura, Kazuki. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010401.

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2024Risk preferences, newsvendor orders and supply chain coordination using the Mean-CVaR model. (2024). Silbermayr, Lena ; Kischka, Peter ; Jammernegg, Werner. In: International Journal of Production Economics. RePEc:eee:proeco:v:270:y:2024:i:c:s0925527324000288.

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2023Is there a risk premium? Evidence from thirteen measures. (2023). Ramos, Henrique Pinto ; Muller, Fernanda Maria ; Fracasso, Lais Martins ; Righi, Marcelo Brutti. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:182-199.

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2024A two-step approach for deploying heterogeneous vessels and designing reliable schedule in liner shipping services. (2024). Zheng, Jianfeng ; Yang, Hualong ; Zhao, Shuaiqi ; Li, Dechang. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:182:y:2024:i:c:s1366554524000061.

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2023Portfolio diversification and sustainable assets from new perspectives. (2023). Kanamura, Takashi. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:7:d:10.1057_s41260-023-00336-x.

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2023Risk measures-based cluster methods for finance. (2023). Righi, Marcelo Brutti ; Muller, Fernanda Maria ; Guedes, Pablo Cristini. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00110-0.

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2023Computational aspects of column generation for nonlinear and conic optimization: classical and linearized schemes. (2023). Chicoisne, Renaud. In: Computational Optimization and Applications. RePEc:spr:coopap:v:84:y:2023:i:3:d:10.1007_s10589-022-00445-0.

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2023General Hölder Smooth Convergence Rates Follow from Specialized Rates Assuming Growth Bounds. (2023). Grimmer, Benjamin. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:197:y:2023:i:1:d:10.1007_s10957-023-02178-4.

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2023Stochastic Composition Optimization of Functions Without Lipschitz Continuous Gradient. (2023). Tajbakhsh, Sam Davanloo ; Liu, Yin. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:198:y:2023:i:1:d:10.1007_s10957-023-02180-w.

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2023Distributionally robust views on queues and related stochastic models. (2023). van Eekelen, Wouter. In: Other publications TiSEM. RePEc:tiu:tiutis:9b99fc05-9d68-48eb-ae8c-9e7988ae4243.

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2023Stochastic dominance algorithms with application to mutual fund performance evaluation. (2023). S. V. D. Nageswara Rao, ; Venkataraman, Sree Vinutha. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:681-698.

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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]
article20
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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article15
1999From stochastic dominance to mean-risk models: Semideviations as risk measures In: European Journal of Operational Research.
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article151
1997From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures..(1997) In: Working Papers.
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This paper has nother version. Agregated cites: 151
paper
2005Beam search heuristic to solve stochastic integer problems under probabilistic constraints In: European Journal of Operational Research.
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article5
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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article34
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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article55
2006Portfolio Optimization With Stochastic Dominance Constraints.(2006) In: Finance.
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This paper has nother version. Agregated cites: 55
paper
2000Noncooperative Convex Games: Computing Equilibrium by Partial Regularization. In: Norway; Department of Economics, University of Bergen.
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paper0
1994Noncooperative Convex Games: Computing Equilibrium By Partial Regularization..(1994) In: Working Papers.
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This paper has nother version. Agregated cites: 0
paper
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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This paper has nother version. Agregated cites: 1
paper
2010Commentary ---Post-Decision States and Separable Approximations Are Powerful Tools of Approximate Dynamic Programming In: INFORMS Journal on Computing.
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article5
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
2004Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems In: Mathematics of Operations Research.
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article35
2006Optimization of Convex Risk Functions In: Mathematics of Operations Research.
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article131
2006Conditional Risk Mappings In: Mathematics of Operations Research.
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article32
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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article63
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 nother 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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article13
2011Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition In: Operations Research.
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article12
2011A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk In: Operations Research.
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article30
2014Computational Methods for Risk-Averse Undiscounted Transient Markov Models In: Operations Research.
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article1
2012Common mathematical foundations of expected utility and dual utility theories In: MPRA Paper.
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paper3
2017Statistical estimation of composite risk functionals and risk optimization problems In: Annals of the Institute of Statistical Mathematics.
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article3
2010Kusuoka representation of higher order dual risk measures In: Annals of Operations Research.
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article13
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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article12
2015Two-stage portfolio optimization with higher-order conditional measures of risk In: Annals of Operations Research.
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article0
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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article2
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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article10
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
1997Constraint Aggregation in Infinite-Dimensional Spaces and Applications. In: Working Papers.
[Full Text][Citation analysis]
paper0
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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paper0
1994On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs. In: Working Papers.
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paper4
1994On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs..(1994) In: Working Papers.
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This paper has nother version. Agregated cites: 4
paper
1994Parallel Solution of Linear Programs Via Nash Equilibria. In: Working Papers.
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paper1
1994A Partial Regularization Method for Saddle Point Seeking. In: Working Papers.
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paper0
1994Perturbation Methods for Saddle Point Computation. In: Working Papers.
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paper4
1994Cost-Effective Sulphur Reduction Under Uncertainty. In: Working Papers.
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paper0
1995On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse. In: Working Papers.
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paper0
1995Constraint Aggregation Principle in Convex Optimization. In: Working Papers.
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paper5
1995Convex Optimization by Radial Search. In: Working Papers.
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paper0
1995Decomposition via Alternating Linearization. In: Working Papers.
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paper1
1996On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems. In: Working Papers.
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paper1
1996On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions. In: Working Papers.
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paper0
1996A Branch and Bound Method for Stochastic Global Optimization. In: Working Papers.
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paper6
1996Managing Water Quality under Uncertainty: Application of a New Stochastic Branch and Bound Method. In: Working Papers.
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paper1
2005Convexification of Stochastic Ordering In: GE, Growth, Math methods.
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paper4
2005Optimization Under First Order Stochastic Dominance Constraints In: GE, Growth, Math methods.
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paper28
2005Inverse stochastic dominance constraints and rank dependent expected utility theory In: GE, Growth, Math methods.
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paper11
2005Optimization of Convex Risk Functions In: Risk and Insurance.
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paper35
2005Conditional Risk Mappings In: Risk and Insurance.
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paper15
2004Optimization of Risk Measures In: Risk and Insurance.
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paper8
2008FINDING NORMALIZED EQUILIBRIUM IN CONVEX-CONCAVE GAMES In: International Game Theory Review (IGTR).
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article0

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