Stochastic traffic engineering for demand uncertainty and risk-aware network revenue management
IEEE/ACM Transactions on Networking (TON)
Strategic Long-Term Financial Risks: Single Risk Factors
Computational Optimization and Applications
On Extending the LP Computable Risk Measures to Account Downside Risk
Computational Optimization and Applications
Measuring Risk for Income Streams
Computational Optimization and Applications
Optimization of Convex Risk Functions
Mathematics of Operations Research
On LP Solvable Models for Portfolio Selection
Informatica
On Decision Support Under Risk by the WOWA Optimization
ECSQARU '07 Proceedings of the 9th European Conference on Symbolic and Quantitative Approaches to Reasoning with Uncertainty
Models and Simulations for Portfolio Rebalancing
Computational Economics
Operations Research
On efficient WOWA optimization for decision support under risk
International Journal of Approximate Reasoning
Technical Note---A Risk-Averse Newsvendor Model Under the CVaR Criterion
Operations Research
On Principles of Fair Resource Allocation for Importance Weighted Agents
SOCINFO '09 Proceedings of the 2009 International Workshop on Social Informatics
Interactive Robust Multiobjective Optimization Driven by Decision Rule Preference Model
MDAI '09 Proceedings of the 6th International Conference on Modeling Decisions for Artificial Intelligence
An automated FX trading system using adaptive reinforcement learning
Expert Systems with Applications: An International Journal
Minimizing measures of risk by saddle point conditions
Journal of Computational and Applied Mathematics
A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem
Computational Optimization and Applications
Supervised ranking in the weka environment
Information Sciences: an International Journal
Bicriteria models for fair and efficient resource allocation
SocInfo'10 Proceedings of the Second international conference on Social informatics
Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
Operations Research
Risk-averse two-stage stochastic programming with an application to disaster management
Computers and Operations Research
Risk Averse Shape Optimization
SIAM Journal on Control and Optimization
Capital rationing problems under uncertainty and risk
Computational Optimization and Applications
A risk-averse newsvendor with law invariant coherent measures of risk
Operations Research Letters
On deviation measures in stochastic integer programming
Operations Research Letters
Minimizing ordered weighted averaging of rational functions with applications to continuous location
Computers and Operations Research
Selection of optimal countermeasure portfolio in IT security planning
Decision Support Systems
Minimizing conditional-value-at-risk for stochastic scheduling problems
Journal of Scheduling
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We consider the problem of constructing mean-risk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analysis we develop the quantile model of stochastic dominance for general distributions. This allows us to show that several models using quantiles and tail characteristics of the distribution are in harmony with the stochastic dominance relation. We also provide stochastic linear programming formulations of these models.