Andrzej Ruszczynski

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

94 Rockefeller Road

Piscataway, NJ 08854

United States

SCHOLARLY PAPERS

7

DOWNLOADS

862

SSRN CITATIONS
Rank 41,151

SSRN RANKINGS

Top 41,151

in Total Papers Citations

4

CROSSREF CITATIONS

14

Scholarly Papers (7)

1.

Two-Stage Portfolio Optimization with Higher-Order Conditional Measures of Risk

Number of pages: 21 Posted: 17 Mar 2012 Last Revised: 05 May 2013
Sitki Gulten and Andrzej Ruszczynski
Rutgers, The State University of New Jersey - Rutgers Business School, Newark & New Brunswick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 280 (139,696)
Citation 1

Abstract:

Loading...

risk management, portfolio optimization, coherent measures of risk, scenario tree generation, stochastic programming

2.

Optimization of Convex Risk Functions

Number of pages: 32 Posted: 02 Mar 2005
Andrzej Ruszczynski and Alexander Shapiro
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 251 (156,103)
Citation 8

Abstract:

Loading...

Convex analysis, stochastic optimization, risk measures, mean-variance models, duality

3.

Conditional Risk Mappings

Number of pages: 28 Posted: 04 May 2005
Andrzej Ruszczynski and Alexander Shapiro
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 160 (235,096)
Citation 1

Abstract:

Loading...

Risk, convex analysis, conjugate duality, dynamic programming

4.

A Multi-Product Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk

Operations Research, June 2, 2010
Number of pages: 32 Posted: 14 Dec 2009 Last Revised: 17 Apr 2011
Sungyong Choi, Sungyong Choi, Andrzej Ruszczynski and Yao Zhao
Nanyang Technological University (NTU) - Division of Systems & Engineering ManagementDivision of Systems and Engineering Management, Nanyang Tecghnological University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Rutgers, The State University of New Jersey - Rutgers University, Newark
Downloads 109 (315,007)
Citation 3

Abstract:

Loading...

Multiple products, newsvendor, risk averse, coherent risk measure, diversification

5.

A Multi-Product Risk-Averse Newsvendor with Exponential Utility Function

European Journal of Operational Research, 2011
Number of pages: 19 Posted: 15 Apr 2011
Sungyong Choi, Sungyong Choi and Andrzej Ruszczynski
Nanyang Technological University (NTU) - Division of Systems & Engineering ManagementDivision of Systems and Engineering Management, Nanyang Tecghnological University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 45 (506,952)

Abstract:

Loading...

Supply chain management, risk analysis, expected utility theory

6.

Common Mathematical Foundations of Expected Utility and Dual Utility Theories

Number of pages: 23 Posted: 21 Nov 2012
Darinka Dentcheva and Andrzej Ruszczynski
affiliation not provided to SSRN and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 17 (671,305)
Citation 1

Abstract:

Loading...

Preferences, Utility Functions, Rank Dependent Utility Functions, Separation, Choquet Representation

7.

Finding Normalized Equilibrium in Convex-Concave Games

International Game Theory Review, Vol. 10, No 1, pp. 37-51, 2008
Posted: 29 Oct 2009
Sjur Didrik Flam and Andrzej Ruszczynski
University of Bergen - Department of Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

Abstract:

Loading...

Non-cooperative games, Nash equilibrium, joint constraints, quasi-variational inequalities, exact penalty, subgradient projection, proximal point algorithm, partial regularization, saddle points, Ky Fan or Nikaidô-Isoda functions, Subject Classification: 90C25, Subject Classification: 91A10