Name
Abstract | ||
|---|---|---|
•Uncertainty in risk preferences and the underlying probability distribution is modeled.•A duality theory is derived where random utility functions appear as the Lagrange multipliers.•The optimal solution is computed exactly with convex optimization in a special case.•In the general case, tractable convex relaxations of our model are obtained.•Numerical experiments are conducted for the newsvendor and portfolio optimization problem to analyze the implications of our model. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1016/j.ejor.2016.03.016 | European Journal of Operational Research |
Keywords | Field | DocType |
Stochastic dominance,Robust optimization,Expected utility maximization | Stochastic optimization,Mathematical optimization,Mathematical economics,Probabilistic-based design optimization,Robust optimization,Stochastic dominance,Multi-objective optimization,Portfolio optimization,Stochastic programming,Optimization problem,Mathematics | Journal |
Volume | Issue | ISSN |
254 | 1 | 0377-2217 |
Citations | PageRank | References |
2 | 0.37 | 36 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| William B. Haskell | 1 | 58 | 12.04 |
| Lunce Fu | 2 | 2 | 0.37 |
| Maged Dessouky | 3 | 479 | 39.53 |