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Details about Andrzej Ruszczynski

E-mail:
Homepage:http://www.rusz.rutgers.edu
Phone:732-445-3422
Postal address:Rutgers University Department of Management Science 94 Rockafeller Road Piscataway, NJ 08854 USA
Workplace:Rutgers University

Access statistics for papers by Andrzej Ruszczynski.

Last updated 2018-07-11. Update your information in the RePEc Author Service.

Short-id: pru30


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Working Papers

2012

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

2006

  1. Computing Normalized Equilibria in Convex-Concave Games
    Working Papers in Economics, University of Bergen, Department of Economics Downloads
    Also in Working Papers, Lund University, Department of Economics (2006) Downloads View citations (2)
  2. Portfolio Optimization With Stochastic Dominance Constraints
    Finance, University Library of Munich, Germany Downloads View citations (35)
    See also Journal Article in Journal of Banking & Finance (2006)

2005

  1. Conditional Risk Mappings
    Risk and Insurance, University Library of Munich, Germany Downloads View citations (16)
  2. Convexification of Stochastic Ordering
    GE, Growth, Math methods, University Library of Munich, Germany Downloads View citations (6)
  3. Inverse stochastic dominance constraints and rank dependent expected utility theory
    GE, Growth, Math methods, University Library of Munich, Germany Downloads View citations (10)
  4. Optimization Under First Order Stochastic Dominance Constraints
    GE, Growth, Math methods, University Library of Munich, Germany Downloads View citations (29)
  5. Optimization of Convex Risk Functions
    Risk and Insurance, University Library of Munich, Germany Downloads View citations (36)

2004

  1. Optimization of Risk Measures
    Risk and Insurance, University Library of Munich, Germany Downloads View citations (8)

2000

  1. 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) Downloads

1997

  1. Constraint Aggregation in Infinite-Dimensional Spaces and Applications
    Working Papers, International Institute for Applied Systems Analysis Downloads
  2. From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (6)
    See also Journal Article in European Journal of Operational Research (1999)
  3. On Stochastic Dominance and Mean-Semideviation Models
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (4)

1996

  1. A Branch and Bound Method for Stochastic Global Optimization
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (6)
  2. Managing Water Quality under Uncertainty: Application of a New Stochastic Branch and Bound Method
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (1)
  3. On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (1)
  4. On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems
    Working Papers, International Institute for Applied Systems Analysis Downloads

1995

  1. Constraint Aggregation Principle in Convex Optimization
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (7)
  2. Convex Optimization by Radial Search
    Working Papers, International Institute for Applied Systems Analysis Downloads
  3. Decomposition via Alternating Linearization
    Working Papers, International Institute for Applied Systems Analysis Downloads
  4. On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse
    Working Papers, International Institute for Applied Systems Analysis Downloads

1994

  1. A Partial Regularization Method for Saddle Point Seeking
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (3)
  2. Cost-Effective Sulphur Reduction Under Uncertainty
    Working Papers, International Institute for Applied Systems Analysis Downloads
  3. On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (4)
    Also in Working Papers, International Institute for Applied Systems Analysis (1994) Downloads View citations (3)
  4. On Optimal Allocation of Indivisibles Under Uncertainty
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (5)
  5. Parallel Solution of Linear Programs Via Nash Equilibria
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (3)
  6. Perturbation Methods for Saddle Point Computation
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (5)

1993

  1. Configurations of Series-Parallel Networks with Maximum Reliability
    Working Papers, International Institute for Applied Systems Analysis Downloads
  2. Interior Point Methods in Stochastic Programming
    Working Papers, International Institute for Applied Systems Analysis Downloads
  3. Regularized Decomposition of Stochastic Programs: Algorithmic Techniques and Numerical Results
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (3)

1992

  1. Augmented Lagrangian Decomposition for Sparse Convex Optimization
    Working Papers, International Institute for Applied Systems Analysis Downloads View citations (7)

Journal Articles

2012

  1. Tractable Almost Stochastic Dominance
    European Journal of Operational Research, 2012, 218, (2), 448-455 Downloads View citations (12)

2011

  1. A multi-product risk-averse newsvendor with exponential utility function
    European Journal of Operational Research, 2011, 214, (1), 78-84 Downloads View citations (21)

2008

  1. Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
    European Journal of Operational Research, 2008, 191, (1), 193-206 Downloads View citations (18)

2006

  1. Portfolio optimization with stochastic dominance constraints
    Journal of Banking & Finance, 2006, 30, (2), 433-451 Downloads View citations (31)
    See also Working Paper (2006)

2005

  1. Beam search heuristic to solve stochastic integer problems under probabilistic constraints
    European Journal of Operational Research, 2005, 167, (1), 35-47 Downloads View citations (4)

2003

  1. Frontiers of Stochastically Nondominated Portfolios
    Econometrica, 2003, 71, (4), 1287-1297 Downloads View citations (23)

1999

  1. From stochastic dominance to mean-risk models: Semideviations as risk measures
    European Journal of Operational Research, 1999, 116, (1), 33-50 Downloads View citations (125)
    See also Working Paper (1997)

1997

  1. Accelerating the regularized decomposition method for two stage stochastic linear problems
    European Journal of Operational Research, 1997, 101, (2), 328-342 Downloads View citations (9)
  2. Thirteenth EURO Summer Institute: Stochastic Optimization
    European Journal of Operational Research, 1997, 101, (2), 229-229 Downloads

1996

  1. Cost-effective sulphur emission reduction under uncertainty
    European Journal of Operational Research, 1996, 90, (3), 395-412 Downloads View citations (4)
 
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