Details about Andrzej Ruszczynski

Access statistics for papers by Andrzej Ruszczynski.

Last updated 2008-08-05. Update your information in the RePEc Author Service.

Short-id: pru30

Working Papers

2006

1. Computing Normalized Equilibria in Convex-Concave Games
   Working Papers, Lund University, Department of Economics
2. Portfolio Optimization With Stochastic Dominance Constraints
   Finance, EconWPA View citations
   See also Journal Article in Journal of Banking & Finance (2006)

2005

3. Conditional Risk Mappings
   Risk and Insurance, EconWPA View citations
4. Convexification of Stochastic Ordering
   GE, Growth, Math methods, EconWPA View citations
5. Inverse stochastic dominance constraints and rank dependent expected utility theory
   GE, Growth, Math methods, EconWPA
6. Optimization Under First Order Stochastic Dominance Constraints
   GE, Growth, Math methods, EconWPA View citations
7. Optimization of Convex Risk Functions
   Risk and Insurance, EconWPA View citations

2004

8. Optimization of Risk Measures
   Risk and Insurance, EconWPA

2000

9. Noncooperative Convex Games: Computing Equilibrium by Partial Regularization
   Norway; Department of Economics, University of Bergen, Department of Economics, University of Bergen
   Also in Working Papers, International Institute for Applied Systems Analysis (1994)

1997

10. Constraint Aggregation in Infinite-Dimensional Spaces and Applications
    Working Papers, International Institute for Applied Systems Analysis
11. From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures
    Working Papers, International Institute for Applied Systems Analysis View citations
    See also Journal Article in European Journal of Operational Research (1999)
12. On Stochastic Dominance and Mean-Semideviation Models
    Working Papers, International Institute for Applied Systems Analysis View citations

1996

13. A Branch and Bound Method for Stochastic Global Optimization
    Working Papers, International Institute for Applied Systems Analysis View citations
14. Managing Water Quality under Uncertainty: Application of a New Stochastic Branch and Bound Method
    Working Papers, International Institute for Applied Systems Analysis View citations
15. On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions
    Working Papers, International Institute for Applied Systems Analysis
16. On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems
    Working Papers, International Institute for Applied Systems Analysis

1995

17. Constraint Aggregation Principle in Convex Optimization
    Working Papers, International Institute for Applied Systems Analysis View citations
18. Convex Optimization by Radial Search
    Working Papers, International Institute for Applied Systems Analysis
19. Decomposition via Alternating Linearization
    Working Papers, International Institute for Applied Systems Analysis
20. On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse
    Working Papers, International Institute for Applied Systems Analysis

1994

21. A Partial Regularization Method for Saddle Point Seeking
    Working Papers, International Institute for Applied Systems Analysis View citations
22. Cost-Effective Sulphur Reduction Under Uncertainty
    Working Papers, International Institute for Applied Systems Analysis
23. On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs
    Working Papers, International Institute for Applied Systems Analysis View citations
    Also in Working Papers, International Institute for Applied Systems Analysis (1994) View citations
24. On Optimal Allocation of Indivisibles Under Uncertainty
    Working Papers, International Institute for Applied Systems Analysis View citations
25. Parallel Solution of Linear Programs Via Nash Equilibria
    Working Papers, International Institute for Applied Systems Analysis View citations
26. Perturbation Methods for Saddle Point Computation
    Working Papers, International Institute for Applied Systems Analysis View citations

1993

27. Configurations of Series-Parallel Networks with Maximum Reliability
    Working Papers, International Institute for Applied Systems Analysis
28. Interior Point Methods in Stochastic Programming
    Working Papers, International Institute for Applied Systems Analysis
29. Regularized Decomposition of Stochastic Programs: Algorithmic Techniques and Numerical Results
    Working Papers, International Institute for Applied Systems Analysis View citations

1992

30. Augmented Lagrangian Decomposition for Sparse Convex Optimization
    Working Papers, International Institute for Applied Systems Analysis View citations

Journal Articles

2008

1. Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
   European Journal of Operational Research, 2008, 191, (1), 193-206 View citations

2006

2. Portfolio optimization with stochastic dominance constraints
   Journal of Banking & Finance, 2006, 30, (2), 433-451 View citations
   See also Working Paper (2006)

2005

3. Beam search heuristic to solve stochastic integer problems under probabilistic constraints
   European Journal of Operational Research, 2005, 167, (1), 35-47

2003

4. Frontiers of Stochastically Nondominated Portfolios
   Econometrica, 2003, 71, (4), 1287-1297 View citations

1999

5. From stochastic dominance to mean-risk models: Semideviations as risk measures
   European Journal of Operational Research, 1999, 116, (1), 33-50 View citations
   See also Working Paper (1997)

1997

6. Accelerating the regularized decomposition method for two stage stochastic linear problems
   European Journal of Operational Research, 1997, 101, (2), 328-342
7. Thirteenth EURO Summer Institute: Stochastic Optimization
   European Journal of Operational Research, 1997, 101, (2), 229-229

1996

8. Cost-effective sulphur emission reduction under uncertainty
   European Journal of Operational Research, 1996, 90, (3), 395-412 View citations