- Stability Analysis of Mean-CVaR Investment Model with Transaction Costs and Integer Allocations2009 | Faculty of Mathematics and Physics
- Local Stability and Differentiability of the Mean-Conditional Value at Risk Model Defined on the Mixed-Integer Loss Functions2010 | Faculty of Mathematics and Physics
- Worst-case VaR and CVaR2006 | Faculty of Mathematics and Physics
- Stress testing for VaR and CVaR +12008 | Faculty of Mathematics and Physics
- Out-of-sample SSD efficiency of mean-CVaR efficient portfolios2015 | Faculty of Mathematics and Physics
- Multi-Stage Stochastic Programming with CVaR: Modeling, Algorithms and RobustnessPublication without faculty affiliation
- Stochastic dominance and CVaR in portfolio selection problem +12005 | Faculty of Mathematics and Physics
- Out-of-sample optimal risk parameter in mean- CVaR models2015 | Faculty of Mathematics and Physics
- On variance reduction of mean-CVaR Monte Carlo estimators2015 | Faculty of Mathematics and Physics
- Using Machine Learning to Predict Optimal Parameters in Portfolio Optimization Problems2020 | Faculty of Mathematics and Physics
- STRESS TESTING FOR RISK-AVERSE STOCHASTIC PROGRAMS2015 | Faculty of Mathematics and Physics
- Influence of short sales and margin requirements on portfolio efficiency - a DEA-risk approach2014 | Faculty of Mathematics and Physics
- Stochastic Programming Software: A Comparison for Investment Problem2011 | Faculty of Mathematics and Physics
- Reformulations of input-output oriented DEA tests with diversification2013 | Faculty of Mathematics and Physics
- Multi-stage emissions management of a steel company2020 | Faculty of Mathematics and Physics
- Output analysis and stress testing for risk constrained portfolios2015 | Faculty of Mathematics and Physics
- SDDP for multistage stochastic programs: preprocessing via scenario reduction2017 | Faculty of Mathematics and Physics
- Stress testing via contamination2006 | Faculty of Mathematics and Physics
- Convergence of approximate solutions in mean-risk models2010 | Faculty of Mathematics and Physics
- Diversification-consistent data envelopment analysis with general deviation measures2013 | Faculty of Mathematics and Physics
- Multistage risk-averse asset allocation with transaction costs2012 | Faculty of Mathematics and Physics
- Diversification-consistent data envelopment analysis based on directional-distance measures2015 | Faculty of Mathematics and Physics
- DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices2012 | Faculty of Mathematics and Physics