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Convergent Bounds for Stochastic Programs with Expected Value Constraints

Publications associées (33)

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Robust Portfolio Optimization

Zheng Wei Yap

Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the forseeable future. This means an investor faces unprecedented risks, hence the increasing need for robust port ...

EPFL2017

Acute stress alters individual risk taking in a time-dependent manner and leads to anti-social risk

Maria del Carmen Sandi Perez, Samuel Bendahan, Fiona Hollis, Leyla Loued-Khenissi, John Christian Thoresen, Lorenz Goette

Decision-making processes can be modulated by stress, and the time elapsed from stress induction seems to be a crucial factor in determining the direction of the effects. Although current approaches consider the ﬁrst post-stress hour a uniform period, the ...

2017

Default And Systemic Risk In Equilibrium

Martin Larsson

We develop a finite horizon continuous time market model, where risk-averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equil ...

Wiley-Blackwell2015

Risk and Reward Preferences under Time Pressure

Anjali Devi Vanapilli Nursimulu

Financial decision making under time pressure, though ubiquitous, is poorly understood; classical and behavioral finance are silent about the time required for a decision to be made. In an experiment, calibrating allowable decision times to 1, 3, and 5 s, ...

Oxford Univ Press2014

Learning search polices from humans in a partially observable context

Aude Billard, Guillaume Pierre Luc De Chambrier

Decision making and planning for which the state information is only partially available is a problem faced by all forms of intelligent entities they being either virtual, synthetic or biological. The standard approach to mathematically solve such a decisi ...

2014

A multi criteria group decision making approach for collaborative software selection problem

Naoufel Cheikhrouhou

Today, operational managers are experiencing difficulties in selecting the software that best suits their increasing number of requirements. These decision makers need to clarify what their needs are, what these packages offer and which software packages b ...

Ios Press2014

A Multidimensional Decisions Modelling Framework for Built Space Supply

Bilal Farooq

The spatial and temporal distribution of built space supply plays an important role in shaping urban form and thus the general travel pattern in an urban area. Within an integrated framework, we are interested in modeling the decisions of a builder in term ...

2013

A Multidimensional Decisions Modelling Framework for Built Space Supply

Bilal Farooq

2012

Coordination and Sampling in Distributed Constraint Optimization

Brammert Ottens

The Distributed Constraint Optimization (DCOP) framework can be used to model a wide range of optimization problems that are inherently distributed. A distributed optimization problem can be viewed as a problem distributed over a set of agents, where agent ...

EPFL2012

Selfish Response to Epidemic Propagation

Jean-Yves Le Boudec, Georgios Theodorakopoulos

An epidemic spreading in a network calls for a decision on the part of the network members: They should decide whether to protect themselves or not. Their decision depends on the trade off between their perceived risk of being infected and the cost of bein ...

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