Portfolio optimization can lead to misspecified stock returns that follow a known distribution.
To investigate tractable formulations of the portfolio selection problem, we study these …

In this paper, the price of risk measuring how risk and return can be traded off in making
portfolio choices is based on multilinear indices that are obtained by using a multilinear and …

A nonstandard probabilistic setting for modeling of the risk of catastrophic events is
presented. It allows random variables to take on infinitely large negative values with non …

In an abstract form, statistical decision making is an optimization problem that uses available
statistical data as an input and optimizes an objective function of interest with respect to …

Investing in mining stocks, investors often face risk problems. Usually to minimize risk, it is
done by forming an investment portfolio. This paper aims to discuss the optimization of the …

It is of crucial importance to develop risk-averse models for multicriteria decision making
under uncertainty. A major stream of the related literature studies optimization problems that …

Investing in the stock sector, investors often face risk problems. Usually, forming an
investment portfolio is done to minimize risk. In this research, investment portfolio …

In a typical one-period decision making model under uncertainty, unknown consequences
are modeled as random variables. However, accurately estimating probability distributions …

In general, a portfolio problem minimizes risk (or negative utility) of a portfolio of financial
assets with respect to portfolio weights subject to a budget constraint. The inverse portfolio …

Cooperative investment consists of two problems: finding an optimal cooperative investment
strategy and fairly dividing investment outcome among participating agents. In general, the …