Results 11 to 20 of about 6,023,559 (283)
Quantifying uncertainty in pest risk maps and assessments: adopting a risk-averse decision maker’s perspective [PDF]
NeoBiota, 2013 Pest risk maps are important decision support tools when devising strategies to minimize introductions of invasive organisms and mitigate their impacts.
Denys Yemshanov +5 more
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Relief Network Design Problem: A Distributionally Robust Optimization Approach [PDF]
چشمانداز مدیریت صنعتی, 2021 In this study, a robust two-stage risk-aversion optimization model is proposed for the multi-product relief network design problem. The comprehensive set of decisions for locating and reinforcing relief facilities, inventory planning, and distributing ...
Aliakbar Hasani
doaj +1 more source
Approximation Algorithms for Stochastic and Risk-Averse Optimization [PDF]
SIAM Journal on Discrete Mathematics, 2018 Extension of a SODA'07 paper. To appear in SIAM J.
Jaroslaw Byrka, Aravind Srinivasan
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Energies, 2023 The Brazilian Power System is mainly composed of renewable generation from hydroelectric and wind. Hence, spot and forward electricity prices tend to represent the inherently stochastic nature of these resources, while risk management is a measure taken ...
Arthur Lauro +4 more
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Utility Maximization, Risk Aversion, and Stochastic Dominance [PDF]
SSRN Electronic Journal, 2011 Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that high risk aversion leads to a rather concentrated distribution, whereas lower risk aversion results in a higher ...
Mathias Beiglboeck +2 more
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Optimal Asset Allocation for CRRA and CARA Insurers under the Vasicek Interest Rate Model
Discrete Dynamics in Nature and Society, 2022 This paper considers the reinsurance-investment problem with interest rate risks under constant relative risk aversion and constant absolute risk aversion preferences, respectively.
Hanlei Hu, Shaoyong Lai, Hongjing Chen
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Mathematics, 2022 In the circumstance that unexpected events lead to the information asymmetry of sales costs, supplier risk aversion and stochastic price, this paper discusses the internal law of using an emergency quantity discount contract to coordinate the supply ...
Donghong Huang +4 more
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What Drives Stochastic Risk Aversion? [PDF]
SSRN Electronic Journal, 2011 This paper examines determinants of stochastic relative risk aversion in conditional asset pricing models. Novel time-series specification tests are proposed as direct extensions of Guo, Wang, and Yang (2013, JMCB)'s model using nonlinear state-space models with heteroskedasticity. I then establish the following facts.
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Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate
Journal of Function Spaces, 2020 In order to tackle the problem of how investors in financial markets allocate wealth to stochastic interest rate governed by a nested stochastic differential equations (SDEs), this paper employs the Nash equilibrium theory of the subgame perfect ...
Shuang Li +4 more
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Risk-Averse Models in Bilevel Stochastic Linear Programming [PDF]
SIAM Journal on Optimization, 2020 We consider bilevel linear problems, where some parameters are stochastic, and the leader has to decide in a here-and-now fashion, while the follower has complete information. In this setting, the leader's outcome can be modeled by a random variable, which we evaluate based on some law-invariant convex risk measure. A qualitative stability result under
Johanna Burtscheidt +2 more
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