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ACCEPTABILITY MAXIMIZATION.
- Published in:
- Frontiers of Mathematical Finance, 2022, v. 1, n. 2, p. 211, doi. 10.3934/fmf.2021009
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- Article
Convex projection and convex multi-objective optimization.
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- Journal of Global Optimization, 2022, v. 83, n. 2, p. 301, doi. 10.1007/s10898-021-01111-1
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- Article
Scalar Multivariate Risk Measures with a Single Eligible Asset.
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- Mathematics of Operations Research, 2022, v. 47, n. 2, p. 899, doi. 10.1287/moor.2021.1153
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- Article
Dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums.
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- Mathematics of Operations Research, 2022, v. 47, n. 1, p. 616, doi. 10.1287/moor.2021.1143
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- Article
Time Consistency of the Mean-Risk Problem.
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- Operations Research, 2021, v. 69, n. 4, p. 1100, doi. 10.1287/opre.2020.2002
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- Article
Time consistency for scalar multivariate risk measures.
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- Statistics & Risk Modeling, 2021, v. 38, n. 3/4, p. 71, doi. 10.1515/strm-2019-0023
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- Article
Elicitability and identifiability of set-valued measures of systemic risk.
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- Finance & Stochastics, 2021, v. 25, n. 1, p. 133, doi. 10.1007/s00780-020-00446-z
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- Article
SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 5, p. -1, doi. 10.1142/S0219024917500261
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- Article
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle.
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- Journal of Global Optimization, 2017, v. 68, n. 1, p. 47, doi. 10.1007/s10898-016-0459-8
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- Article
A parametric simplex algorithm for linear vector optimization problems.
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- Mathematical Programming, 2017, v. 163, n. 1/2, p. 213, doi. 10.1007/s10107-016-1061-z
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Multi-portfolio time consistency for set-valued convex and coherent risk measures.
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- Finance & Stochastics, 2015, v. 19, n. 1, p. 67, doi. 10.1007/s00780-014-0247-6
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- Article
Primal and dual approximation algorithms for convex vector optimization problems.
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- Journal of Global Optimization, 2014, v. 60, n. 4, p. 713, doi. 10.1007/s10898-013-0136-0
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- Article
Benson type algorithms for linear vector optimization and applications.
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- Journal of Global Optimization, 2014, v. 59, n. 4, p. 811, doi. 10.1007/s10898-013-0098-2
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- Article
AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS.
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- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 2, p. 1, doi. 10.1142/S0219024914500125
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- Article