1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.RM2009★ 1 cited
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Laetitia Andrieu, Michel De Lara, Babacar Seck
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call t…
math.OC2007★ 1 cited
Stochastic Programming with Probability
Laetitia Andrieu, Guy Cohen, Felisa Vázquez-Abad
In this work we study optimization problems subject to a failure constraint. This constraint is expressed in terms of a condition that causes failure, representing a physical or te…