Threshold Boolean form for joint probabilistic constraints with random technology matrix

Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems

(2012) Miguel A. Lejeune   OPERATIONS RESEARCH

Capital rationing problems under uncertainty and risk

(2011) Patrizia Beraldi et al.   COMPUTATIONAL OPTIMIZATION AND APPLICATIONS

On joint probabilistic constraints with Gaussian coefficient matrix

(2011) W. van Ackooij et al.   OPERATIONS RESEARCH LETTERS

Uniform quasi-concavity in probabilistic constrained stochastic programming

(2011) András Prékopa et al.   OPERATIONS RESEARCH LETTERS

Pattern definition of the p-efficiency concept

(2010) Miguel A. Lejeune   ANNALS OF OPERATIONS RESEARCH

IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation

(2010) Matthew W. Tanner et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

A VaR Black–Litterman model for the construction of absolute return fund-of-funds

(2010) Miguel A. Lejeune   QUANTITATIVE FINANCE

An exact approach for solving integer problems under probabilistic constraints with random technology matrix

(2009) Patrizia Beraldi et al.   ANNALS OF OPERATIONS RESEARCH

An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints

(2009) P. Bonami et al.   OPERATIONS RESEARCH

A Sample Approximation Approach for Optimization with Probabilistic Constraints

(2008) James Luedtke et al.   SIAM JOURNAL ON OPTIMIZATION