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Browsing by Author "Rachev, Svetlozar T."
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2000-12-20BuchQuantitative stability in stochastic programming Rachev, Svetlozar T.; Römisch, WernerQuantitative stability of optimal values and solution sets to stochastic programming problems is studied when the underlying probability distribution varies in some metric space of probability measures. We give conditions ...
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2005-11-07BuchQuantitative stability in stochastic programming: The method of probability metrics Rachev, Svetlozar T.; Römisch, WernerQuantitative stability of optimal values and solution sets to stochastic programming problems is studied when the underlying probability distribution varies in some metric space of probability measures. We give conditions ...
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2000-11-28BuchThe stable non-Gaussian asset allocation Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, EduardoWe analyze a multistage stochastic asset allocation problem with decision rules. The uncertainty is modeled using economic scenarios with Gaussian and stable Paretian non-Gaussian innovations. The optimal allocations under ...