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Browsing by Author "Rachev, Svetlozar T."

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    • 2000-12-20Buch
      Quantitative stability in stochastic programming 
      Rachev, Svetlozar T.; Römisch, Werner
      Quantitative 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 ...
    • 2005-11-07Buch
      Quantitative stability in stochastic programming: The method of probability metrics 
      Rachev, Svetlozar T.; Römisch, Werner
      Quantitative 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 ...
    • 2000-11-28Buch
      The stable non-Gaussian asset allocation 
      Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo
      We 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 ...
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