Citations of
Andrzej Ruszczynski

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Working papers

1. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, EconWPA, revised 08 Oct 2005. [Downloadable!]

   Cited by:

   1. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, EconWPA, revised 08 Oct 2005. [Downloadable!]
   2. Alejandro Balbás & Raquel Balbás, 2009. "Compatibility between pricing rules and risk measures: The CCVaR," Business Economics Working Papers wb090201, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
   3. Volker Krätschmer, 2007. "On s-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model," SFB 649 Discussion Papers SFB649DP2007-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
   4. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, EconWPA. [Downloadable!]
   5. Alejandro Balbas, 2008. "Capital requirements: Are they the best solution?," Business Economics Working Papers wb087114, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]

2. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006. [Downloadable!]
   Published as:
   • Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February. [Downloadable!] (restricted)

   Cited by:

   1. Laetitia Andrieu & Michel De Lara & Babacar Seck, 2008. "Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions," Working Papers hal-00390836_v1, HAL. [Downloadable!]
   2. Laetitia Andrieu & Michel De Lara & Babacar Seck, 2009. "Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions," Quantitative Finance Papers 0906.3425, arXiv.org. [Downloadable!]
   3. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, EconWPA. [Downloadable!]

3. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, EconWPA, revised 08 Oct 2005. [Downloadable!]

   Cited by:

   1. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, EconWPA. [Downloadable!]

4. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Convexification of Stochastic Ordering," GE, Growth, Math methods 0402005, EconWPA, revised 05 Aug 2005. [Downloadable!]

   Cited by:

   1. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Optimization Under First Order Stochastic Dominance Constraints," GE, Growth, Math methods 0403002, EconWPA, revised 07 Aug 2005. [Downloadable!]
   2. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, EconWPA. [Downloadable!]

5. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Optimization Under First Order Stochastic Dominance Constraints," GE, Growth, Math methods 0403002, EconWPA, revised 07 Aug 2005. [Downloadable!]

   Cited by:

   1. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, EconWPA. [Downloadable!]

6. W. Ogryczak & A. Ruszczynski, 1997. "From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures," Working Papers ir97027, International Institute for Applied Systems Analysis. [Downloadable!]
   Published as:
   • Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July. [Downloadable!] (restricted)

   Cited by:

   1. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, EconWPA, revised 08 Oct 2005. [Downloadable!]
   2. Laureano Escudero, 2009. "On a mixture of the fix-and-relax coordination and Lagrangian substitution schemes for multistage stochastic mixed integer programming," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(1), pages 5-29, July. [Downloadable!] (restricted)
   3. Albrecht, Peter, 2003. "Risk Measures," Sonderforschungsbereich 504 Publications 03-01, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
   4. Alejandro Balbás & Raquel Balbás, 2009. "Compatibility between pricing rules and risk measures: The CCVaR," Business Economics Working Papers wb090201, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
   5. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006. [Downloadable!]
      Other versions:
      • Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February. [Downloadable!] (restricted)
   6. Y.M. Ermoliev & T.Y. Ermolieva & G.J. MacDonald & V.I. Norkin, 1998. "On the Design of Catastrophic Risk Portfolios," Working Papers ir98056, International Institute for Applied Systems Analysis. [Downloadable!]
   7. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, EconWPA. [Downloadable!]
   8. W. Ogryczak & A. Ruszczynski, 1997. "On Stochastic Dominance and Mean-Semideviation Models," Working Papers ir97043, International Institute for Applied Systems Analysis. [Downloadable!]
   9. Laetitia Andrieu & Michel De Lara & Babacar Seck, 2008. "Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions," Working Papers hal-00390836_v1, HAL. [Downloadable!]
   10. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, EconWPA, revised 08 Oct 2005. [Downloadable!]
   11. Laetitia Andrieu & Michel De Lara & Babacar Seck, 2009. "Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions," Quantitative Finance Papers 0906.3425, arXiv.org. [Downloadable!]
   12. W. Michalowski & W. Ogryczak, 1998. "Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion," Working Papers ir98041, International Institute for Applied Systems Analysis. [Downloadable!]
   13. Laureano Escudero & Araceli Garín & María Merino & Gloria Pérez, 2009. "On multistage Stochastic Integer Programming for incorporating logical constraints in asset and liability management under uncertainty," Computational Management Science, Springer, vol. 6(3), pages 307-327, August. [Downloadable!] (restricted)
   14. Alejandro Balbas, 2008. "Capital requirements: Are they the best solution?," Business Economics Working Papers wb087114, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
   15. Sergio Ortobelli Lozza, 2001. "The classification of parametric choices under uncertainty: analysis of the portfolio choice problem," Theory and Decision, Springer, vol. 51(2), pages 297-328, December. [Downloadable!] (restricted)

7. W. Ogryczak & A. Ruszczynski, 1997. "On Stochastic Dominance and Mean-Semideviation Models," Working Papers ir97043, International Institute for Applied Systems Analysis. [Downloadable!]

   Cited by:

   1. W. Michalowski & W. Ogryczak, 1998. "Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion," Working Papers ir98041, International Institute for Applied Systems Analysis. [Downloadable!]

8. B.J. Lence & A. Ruszczynski, 1996. "Managing Water Quality under Uncertainty: Application of a New Stochastic Branch and Bound Method," Working Papers wp96066, International Institute for Applied Systems Analysis. [Downloadable!]

   Cited by:

   1. K. Haeggloef, 1996. "The Implementation of the Stochastic Branch and Bound Method for Applications in River Basin Water Quality Management," Working Papers wp96089, International Institute for Applied Systems Analysis. [Downloadable!]

9. V.I. Norkin & G.C. Pflug & A. Ruszczynski, 1996. "A Branch and Bound Method for Stochastic Global Optimization," Working Papers wp96065, International Institute for Applied Systems Analysis. [Downloadable!]

   Cited by:

   1. Y.M. Ermoliev & V.I. Norkin, 1998. "Monte Carlo Optimization and Path Dependent Nonstationary Laws of Large Numbers," Working Papers ir98009, International Institute for Applied Systems Analysis. [Downloadable!]

10. Y.M. Ermoliev & A.V. Kryazhimskii & A. Ruszczynski, 1995. "Constraint Aggregation Principle in Convex Optimization," Working Papers wp95015, International Institute for Applied Systems Analysis. [Downloadable!]

    Cited by:

    1. A.V. Kryazhimskii & A. Ruszczynski, 1997. "Constraint Aggregation in Infinite-Dimensional Spaces and Applications," Working Papers ir97051, International Institute for Applied Systems Analysis. [Downloadable!]
    2. Y.M. Ermoliev & A. Ruszczynski, 1995. "Convex Optimization by Radial Search," Working Papers wp95036, International Institute for Applied Systems Analysis. [Downloadable!]
    3. M. Davidson, 1996. "Proximal Point Mappings and Constraint Aggregation Principle," Working Papers wp96102, International Institute for Applied Systems Analysis. [Downloadable!]
    4. R. Rozycki, 1995. "Constraint Aggregation Principle: Application to a Dual Transportation Problem," Working Papers wp95103, International Institute for Applied Systems Analysis. [Downloadable!]
    5. B.V. Digas & Y.M. Ermoliev & A.V. Kryazhimskii, 1998. "Guaranteed Optimization in Insurance of Catastrophic Risks," Working Papers ir98082, International Institute for Applied Systems Analysis. [Downloadable!]
    6. A.V. Kryazhimskii & V.I. Maksimov & Yu.S. Osipov, 1996. "Reconstruction of Boundary Sources through Sensor Observations," Working Papers wp96097, International Institute for Applied Systems Analysis. [Downloadable!]

11. M.J. Kallio & A. Ruszczynski, 1994. "Parallel Solution of Linear Programs Via Nash Equilibria," Working Papers wp94015, International Institute for Applied Systems Analysis. [Downloadable!]

    Cited by:

    1. M.J. Kallio & C.H. Rosa, 1994. "Large-Scale Convex Optimization via Saddle Point Computation," Working Papers wp94107, International Institute for Applied Systems Analysis. [Downloadable!]
    2. M.J. Kallio & A. Ruszczynski, 1994. "Perturbation Methods for Saddle Point Computation," Working Papers wp94038, International Institute for Applied Systems Analysis. [Downloadable!]
    3. A. Ruszczynski, 1994. "A Partial Regularization Method for Saddle Point Seeking," Working Papers wp94020, International Institute for Applied Systems Analysis. [Downloadable!]

12. M.J. Kallio & A. Ruszczynski, 1994. "Perturbation Methods for Saddle Point Computation," Working Papers wp94038, International Institute for Applied Systems Analysis. [Downloadable!]

    Cited by:

    1. M.J. Kallio & C.H. Rosa, 1994. "Large-Scale Convex Optimization via Saddle Point Computation," Working Papers wp94107, International Institute for Applied Systems Analysis. [Downloadable!]
    2. S.D. Flam & A. Ruszczynski, 1994. "Noncooperative Convex Games: Computing Equilibrium By Partial Regularization," Working Papers wp94042, International Institute for Applied Systems Analysis. [Downloadable!]
       Other versions:
       • Flam, S.D. & Ruszczynski, A., 2000. "Noncooperative Convex Games: Computing Equilibrium by Partial Regularization," Norway; Department of Economics, University of Bergen 1200, Department of Economics, University of Bergen.
    3. Flam, Sjur & Ruszczynski, A., 2006. "Computing Normalized Equilibria in Convex-Concave Games," Working Papers 2006:9, Lund University, Department of Economics. [Downloadable!]

13. A. Ruszczynski, 1994. "A Partial Regularization Method for Saddle Point Seeking," Working Papers wp94020, International Institute for Applied Systems Analysis. [Downloadable!]

    Cited by:

    1. M.J. Kallio & A. Ruszczynski, 1994. "Perturbation Methods for Saddle Point Computation," Working Papers wp94038, International Institute for Applied Systems Analysis. [Downloadable!]
    2. Flam, Sjur & Ruszczynski, A., 2006. "Computing Normalized Equilibria in Convex-Concave Games," Working Papers 2006:9, Lund University, Department of Economics. [Downloadable!]

14. A. Ruszczynski, 1994. "On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs," Working Papers wp94005, International Institute for Applied Systems Analysis. [Downloadable!]
    Other versions:
    • C.H. Rosa & A. Ruszczynski, 1994. "On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs," Working Papers wp94125, International Institute for Applied Systems Analysis. [Downloadable!]

    Cited by:

    1. Diana Barro & Elio Canestrelli, 2005. "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods 0510011, EconWPA. [Downloadable!]
    2. M. Makowski & L. Somlyody & D. Watkins, 1995. "Multiple Criteria Analysis for Regional Water Quality Management: the Nitra River Case," Working Papers wp95022, International Institute for Applied Systems Analysis. [Downloadable!]
    3. K. Kiwiel & C.H. Rosa & A. Ruszczynski, 1995. "Decomposition via Alternating Linearization," Working Papers wp95051, International Institute for Applied Systems Analysis. [Downloadable!]

15. V.I. Norkin & Y.M. Ermoliev & A. Ruszczynski, 1994. "On Optimal Allocation of Indivisibles Under Uncertainty," Working Papers wp94021, International Institute for Applied Systems Analysis. [Downloadable!]

    Cited by:

    1. V.I. Norkin & G.C. Pflug & A. Ruszczynski, 1996. "A Branch and Bound Method for Stochastic Global Optimization," Working Papers wp96065, International Institute for Applied Systems Analysis. [Downloadable!]
    2. B.J. Lence & A. Ruszczynski, 1996. "Managing Water Quality under Uncertainty: Application of a New Stochastic Branch and Bound Method," Working Papers wp96066, International Institute for Applied Systems Analysis. [Downloadable!]
    3. K. Haeggloef, 1996. "The Implementation of the Stochastic Branch and Bound Method for Applications in River Basin Water Quality Management," Working Papers wp96089, International Institute for Applied Systems Analysis. [Downloadable!]

16. A. Ruszczynski, 1993. "Regularized Decomposition of Stochastic Programs: Algorithmic Techniques and Numerical Results," Working Papers wp93021, International Institute for Applied Systems Analysis. [Downloadable!]

    Cited by:

    1. A. Ruszczynski & A. Swietanowski, 1996. "On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems," Working Papers wp96014, International Institute for Applied Systems Analysis. [Downloadable!]
    2. A. Swietanowski, 1995. "A Penalty Based Simplex Method for Linear Programming," Working Papers wp95005, International Institute for Applied Systems Analysis. [Downloadable!]

17. A. Ruszczynski, 1992. "Augmented Lagrangian Decomposition for Sparse Convex Optimization," Working Papers wp92075, International Institute for Applied Systems Analysis. [Downloadable!]

    Cited by:

    1. C.H. Rosa & A. Ruszczynski, 1994. "On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs," Working Papers wp94125, International Institute for Applied Systems Analysis. [Downloadable!]
       Other versions:
       • A. Ruszczynski, 1994. "On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs," Working Papers wp94005, International Institute for Applied Systems Analysis. [Downloadable!]
    2. A. Ruszczynski, 1993. "Regularized Decomposition of Stochastic Programs: Algorithmic Techniques and Numerical Results," Working Papers wp93021, International Institute for Applied Systems Analysis. [Downloadable!]
    3. M.J. Kallio & A. Ruszczynski, 1994. "Parallel Solution of Linear Programs Via Nash Equilibria," Working Papers wp94015, International Institute for Applied Systems Analysis. [Downloadable!]
    4. A. Ruszczynski, 1993. "Interior Point Methods in Stochastic Programming," Working Papers wp93008, International Institute for Applied Systems Analysis. [Downloadable!]
    5. A. Ruszczynski, 1994. "A Partial Regularization Method for Saddle Point Seeking," Working Papers wp94020, International Institute for Applied Systems Analysis. [Downloadable!]
    6. K. Kiwiel & C.H. Rosa & A. Ruszczynski, 1995. "Decomposition via Alternating Linearization," Working Papers wp95051, International Institute for Applied Systems Analysis. [Downloadable!]

1. Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February. [Downloadable!] (restricted)
   Other versions:
   • Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006. [Downloadable!]

   See citations under working paper version above.

2. Andrzej Ruszczynski & Robert J. Vanderbei, 2003. "Frontiers of Stochastically Nondominated Portfolios," Econometrica, Econometric Society, vol. 71(4), pages 1287-1297, 07. [Downloadable!] (restricted)

   Cited by:

   1. Gilbert W. Bassett Jr & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers CWP09/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
      Other versions:
      • Gilbert W. Bassett, 2004. "Pessimistic Portfolio Allocation and Choquet Expected Utility," Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 477-492. [Downloadable!] (restricted)
   2. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006. [Downloadable!]
      Other versions:
      • Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February. [Downloadable!] (restricted)
   3. Rustam Ibragimov, 2004. "Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions," Econometric Society 2004 Latin American Meetings 105, Econometric Society. [Downloadable!]
   4. Simone Manganelli, 2007. "Asset allocation by penalized least squares," Working Paper Series 723, European Central Bank. [Downloadable!]

3. Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July. [Downloadable!] (restricted)
   Other versions:
   • W. Ogryczak & A. Ruszczynski, 1997. "From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures," Working Papers ir97027, International Institute for Applied Systems Analysis. [Downloadable!]

   See citations under working paper version above.

4. Altman, Anna & Amann, Markus & Klaassen, Ger & Ruszczynski, Andrzej & Schopp, Wolfgang, 1996. "Cost-effective sulphur emission reduction under uncertainty," European Journal of Operational Research, Elsevier, vol. 90(3), pages 395-412, May. [Downloadable!] (restricted)

   Cited by:

   1. Willemijn Tuinstra, 2008. "European air pollution assessments: co-production of science and policy," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 8(1), pages 35-49, March. [Downloadable!] (restricted)

This page was last updated on 2010-1-27.