2 citations · 2 across the 15 of their papers we have counts for
4 papers · 2 filters
Subdifferentials of Convex Operators Valued in the Space of Integrable Functions with Application to Risk-Averse Optimization
Darinka Dentcheva, Andrzej Ruszczynski
We study differentiability properties of convex operators defined on a Banach space with values in an $\Lc_p$ space and of their compositions with monotonic convex functionals on t…
Relaxation of stochastic dominance constraints via optimal mass transport
Darinka Dentcheva, Yunxuan Yi
Optimization problems with stochastic dominance constraints provide a possibility to shape risk by selecting a benchmark random outcome with a desired distribution. The comparison…
Fair Risk Optimization of Distributed Systems
Aray Almen, Darinka Dentcheva
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which…
Asset liability management under sequential stochastic dominance constraints
Giorgio Consigli, Darinka Dentcheva, Francesca Maggioni +1
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital inves…