IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v177y2007i3p1535-1548.html
   My bibliography  Save this article

Discrete dynamic programming with outcomes in random variable structures

Author

Listed:
  • Trzaskalik, Tadeusz
  • Sitarz, Sebastian

Abstract

No abstract is available for this item.

Suggested Citation

  • Trzaskalik, Tadeusz & Sitarz, Sebastian, 2007. "Discrete dynamic programming with outcomes in random variable structures," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1535-1548, March.
    • Handle: RePEc:eee:ejores:v:177:y:2007:i:3:p:1535-1548
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(05)00656-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    2. Opricovic, Serafim, 1993. "Dynamic compromise programming with application to water reservoir management," Agricultural Systems, Elsevier, vol. 41(3), pages 335-347.
    3. Abo-Sinna, Mahmoud A. & Hussein, Mohammad L., 1994. "An algorithm for decomposing the parametric space in multiobjective dynamic programming problems," European Journal of Operational Research, Elsevier, vol. 73(3), pages 532-538, March.
    4. Mordechai I. Henig, 1985. "The Principle of Optimality in Dynamic Programming with Returns in Partially Ordered Sets," Mathematics of Operations Research, INFORMS, vol. 10(3), pages 462-470, August.
    5. Matthew J. Sobel, 1975. "Ordinal Dynamic Programming," Management Science, INFORMS, vol. 21(9), pages 967-975, May.
    6. Arthur Warburton, 1987. "Approximation of Pareto Optima in Multiple-Objective, Shortest-Path Problems," Operations Research, INFORMS, vol. 35(1), pages 70-79, February.
    7. L. G. Mitten, 1974. "Preference Order Dynamic Programming," Management Science, INFORMS, vol. 21(1), pages 43-46, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sebastian Sitarz, 2013. "Compromise programming with Tchebycheff norm for discrete stochastic orders," Annals of Operations Research, Springer, vol. 211(1), pages 433-446, December.
    2. Maciej Nowak & Tadeusz Trzaskalik, 2013. "Interactive procedure for a multiobjective stochastic discrete dynamic problem," Journal of Global Optimization, Springer, vol. 57(2), pages 315-330, October.
    3. Sebastian Sitarz, 2009. "Pareto optimal allocations and dynamic programming," Annals of Operations Research, Springer, vol. 172(1), pages 203-219, November.
    4. Maciej Nowak & Tadeusz Trzaskalik, 2022. "A trade-off multiobjective dynamic programming procedure and its application to project portfolio selection," Annals of Operations Research, Springer, vol. 311(2), pages 1155-1181, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Maciej Nowak & Tadeusz Trzaskalik, 2013. "Interactive procedure for a multiobjective stochastic discrete dynamic problem," Journal of Global Optimization, Springer, vol. 57(2), pages 315-330, October.
    2. Frini, Anissa & Guitouni, Adel & Martel, Jean-Marc, 2012. "A general decomposition approach for multi-criteria decision trees," European Journal of Operational Research, Elsevier, vol. 220(2), pages 452-460.
    3. Safer, Hershel M. & Orlin, James B., 1953-, 1995. "Fast approximation schemes for multi-criteria combinatorial optimization," Working papers 3756-95., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. Dipankar Mondal & N. Selvaraju, 2022. "Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(1), pages 225-248, March.
    5. Wojtek Michalowski & Włodzimierz Ogryczak, 2001. "Extending the MAD portfolio optimization model to incorporate downside risk aversion," Naval Research Logistics (NRL), John Wiley & Sons, vol. 48(3), pages 185-200, April.
    6. Alós-Ferrer, Carlos & Ritzberger, Klaus, 2017. "Does backwards induction imply subgame perfection?," Games and Economic Behavior, Elsevier, vol. 103(C), pages 19-29.
    7. Nowak, Maciej, 2007. "Aspiration level approach in stochastic MCDM problems," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1626-1640, March.
    8. Jamain, Florian, 2014. "Représentations discrètes de l'ensemble des points non dominés pour des problèmes d'optimisation multi-objectifs," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14002 edited by Bazgan, Cristina.
    9. Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
    10. Murthy, Ishwar & Sarkar, Sumit, 1997. "Exact algorithms for the stochastic shortest path problem with a decreasing deadline utility function," European Journal of Operational Research, Elsevier, vol. 103(1), pages 209-229, November.
    11. Righi, Marcelo Brutti & Borenstein, Denis, 2018. "A simulation comparison of risk measures for portfolio optimization," Finance Research Letters, Elsevier, vol. 24(C), pages 105-112.
    12. Li, Jie & Huang, Huaxia & Xiao, Xiao, 2012. "The sovereign property of foreign reserve investment in China: A CVaR approach," Economic Modelling, Elsevier, vol. 29(5), pages 1524-1536.
    13. Randeep Bhatia & Sudipto Guha & Samir Khuller & Yoram J. Sussmann, 1998. "Facility Location with Dynamic Distance Functions," Journal of Combinatorial Optimization, Springer, vol. 2(3), pages 199-217, September.
    14. Alessandra Carleo & Francesco Cesarone & Andrea Gheno & Jacopo Maria Ricci, 2017. "Approximating exact expected utility via portfolio efficient frontiers," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 115-143, November.
    15. Niu, Cuizhen & Wong, Wing-Keung & Xu, Qunfang, 2017. "Higher-Order Risk Measure and (Higher-Order) Stochastic Dominance," MPRA Paper 75948, University Library of Munich, Germany.
    16. Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
    17. Walter J. Gutjahr & Alois Pichler, 2016. "Stochastic multi-objective optimization: a survey on non-scalarizing methods," Annals of Operations Research, Springer, vol. 236(2), pages 475-499, January.
    18. Victor Lebreton, 2007. "Le trading algorithmique," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00332823, HAL.
    19. Hammond, Peter J & Zank, Horst, 2013. "Rationality and Dynamic Consistency under Risk and Uncertainty," The Warwick Economics Research Paper Series (TWERPS) 1033, University of Warwick, Department of Economics.
    20. repec:cte:idrepe:22932 is not listed on IDEAS
    21. Adam Krzemienowski, 2009. "Risk preference modeling with conditional average: an application to portfolio optimization," Annals of Operations Research, Springer, vol. 165(1), pages 67-95, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:177:y:2007:i:3:p:1535-1548. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.