Details about Darinka Dentcheva

Access statistics for papers by Darinka Dentcheva.

Last updated 2024-03-08. Update your information in the RePEc Author Service.

Short-id: pde121

Working Papers

2025

1. ESG-coherent risk measures for sustainable investing
   Papers, arXiv.org

2012

2. Common mathematical foundations of expected utility and dual utility theories
   MPRA Paper, University Library of Munich, Germany View citations (3)

2006

3. Portfolio Optimization With Stochastic Dominance Constraints
   Finance, University Library of Munich, Germany View citations (56)
   See also Journal Article Portfolio optimization with stochastic dominance constraints, Journal of Banking & Finance, Elsevier (2006) View citations (48) (2006)

2005

4. Convexification of Stochastic Ordering
   GE, Growth, Math methods, University Library of Munich, Germany View citations (6)
5. Inverse stochastic dominance constraints and rank dependent expected utility theory
   GE, Growth, Math methods, University Library of Munich, Germany View citations (11)
6. Optimization Under First Order Stochastic Dominance Constraints
   GE, Growth, Math methods, University Library of Munich, Germany View citations (32)

Journal Articles

2023

1. Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems
   Operations Research, 2023, 71, (5), 1871-1888
2. The deepest event cuts in risk-averse optimization with application to radiation therapy design
   Computational Optimization and Applications, 2023, 86, (3), 1347-1372

2020

3. Correction to: Preface: Stochastic optimization: theory and applications
   Annals of Operations Research, 2020, 292, (2), 1001-1001 View citations (1)
4. Stochastic optimization: theory and applications
   Annals of Operations Research, 2020, 292, (2), 575-580 View citations (1)

2018

5. On the price of risk in a mean-risk optimization model
   Quantitative Finance, 2018, 18, (10), 1699-1713 View citations (1)

2017

6. Statistical estimation of composite risk functionals and risk optimization problems
   Annals of the Institute of Statistical Mathematics, 2017, 69, (4), 737-760 View citations (4)

2016

7. Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints
   Operations Research, 2016, 64, (6), 1451-1465 View citations (2)

2012

8. Augmented Lagrangian method for probabilistic optimization
   Annals of Operations Research, 2012, 200, (1), 109-130 View citations (8)
9. Stochastic modeling and optimization (in honor of András Prékopa’s 80th birthday)
   Annals of Operations Research, 2012, 200, (1), 1-2 View citations (1)
10. Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
    European Journal of Operational Research, 2012, 219, (1), 1-8 View citations (16)

2011

11. Mean-risk tests of stochastic dominance
    Statistics & Risk Modeling, 2011, 28, (2), 97-118 View citations (1)

2010

12. Kusuoka representation of higher order dual risk measures
    Annals of Operations Research, 2010, 181, (1), 325-335 View citations (14)
13. Shape-restricted inference for Lorenz curves using duality theory
    Statistics & Probability Letters, 2010, 80, (5-6), 403-412 View citations (3)

2006

14. Portfolio optimization with stochastic dominance constraints
    Journal of Banking & Finance, 2006, 30, (2), 433-451 View citations (48)
    See also Working Paper Portfolio Optimization With Stochastic Dominance Constraints, Finance (2006) View citations (56) (2006)

2004

15. Dual methods for probabilistic optimization problems *
    Mathematical Methods of Operations Research, 2004, 60, (2), 331-346 View citations (11)

2001

16. On Differentiability of Metric Projections onto Moving Convex Sets
    Annals of Operations Research, 2001, 101, (1), 283-298

Chapters

2010

1. Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
   Springer