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A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem

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  • João Claro
  • Jorge Sousa

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  • João Claro & Jorge Sousa, 2010. "A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem," Computational Optimization and Applications, Springer, vol. 46(3), pages 427-450, July.
  • Handle: RePEc:spr:coopap:v:46:y:2010:i:3:p:427-450
    DOI: 10.1007/s10589-008-9197-2
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    2. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, University Library of Munich, Germany, revised 08 Oct 2005.
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    4. Hanafi, Said & Freville, Arnaud, 1998. "An efficient tabu search approach for the 0-1 multidimensional knapsack problem," European Journal of Operational Research, Elsevier, vol. 106(2-3), pages 659-675, April.
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    6. Freville, Arnaud, 2004. "The multidimensional 0-1 knapsack problem: An overview," European Journal of Operational Research, Elsevier, vol. 155(1), pages 1-21, May.
    7. Hans Kellerer & Renata Mansini & M. Speranza, 2000. "Selecting Portfolios with Fixed Costs and Minimum Transaction Lots," Annals of Operations Research, Springer, vol. 99(1), pages 287-304, December.
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    10. Gomes da Silva, Carlos & Climaco, Joao & Figueira, Jose, 2006. "A scatter search method for bi-criteria {0, 1}-knapsack problems," European Journal of Operational Research, Elsevier, vol. 169(2), pages 373-391, March.
    11. Haugen, Kjetil K. & Lokketangen, Arne & Woodruff, David L., 2001. "Progressive hedging as a meta-heuristic applied to stochastic lot-sizing," European Journal of Operational Research, Elsevier, vol. 132(1), pages 116-122, July.
    12. S Das & D Ghosh, 2003. "Binary knapsack problems with random budgets," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(9), pages 970-983, September.
    13. Mahmoud H. Alrefaei & Sigrún Andradóttir, 1999. "A Simulated Annealing Algorithm with Constant Temperature for Discrete Stochastic Optimization," Management Science, INFORMS, vol. 45(5), pages 748-764, May.
    14. Selcen (Pamuk) Phelps & Murat Köksalan, 2003. "An Interactive Evolutionary Metaheuristic for Multiobjective Combinatorial Optimization," Management Science, INFORMS, vol. 49(12), pages 1726-1738, December.
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    17. Andrzej Ruszczyński & Alexander Shapiro, 2006. "Optimization of Convex Risk Functions," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 433-452, August.
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    21. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    22. Jones, D. F. & Mirrazavi, S. K. & Tamiz, M., 2002. "Multi-objective meta-heuristics: An overview of the current state-of-the-art," European Journal of Operational Research, Elsevier, vol. 137(1), pages 1-9, February.
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    2. Yasemin Merzifonluoglu & Joseph Geunes, 2021. "The Risk-Averse Static Stochastic Knapsack Problem," INFORMS Journal on Computing, INFORMS, vol. 33(3), pages 931-948, July.

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