Bernardo Pagnoncelli
Bernardo Pagnoncelli
Associate Professor, SKEMA Business School
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Sample average approximation method for chance constrained programming: theory and applications
BK Pagnoncelli, S Ahmed, A Shapiro
Journal of optimization theory and applications 142 (2), 399-416, 2009
Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective
T Homem-de-Mello, BK Pagnoncelli
European Journal of Operational Research 249 (1), 188-199, 2016
Chance-constrained problems and rare events: an importance sampling approach
J Barrera, T Homem-de-Mello, E Moreno, BK Pagnoncelli, G Canessa
Mathematical Programming 157 (1), 153-189, 2016
Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
BK Pagnoncelli, D Reich, MC Campi
Journal of Optimization Theory and Applications 155 (2), 707-722, 2012
Scenario reduction for stochastic programs with Conditional Value-at-Risk
S Arpón, T Homem-de-Mello, B Pagnoncelli
Mathematical Programming 170 (1), 327-356, 2018
The optimal harvesting problem under price uncertainty
A Piazza, BK Pagnoncelli
Annals of Operations Research, 2014
A risk averse approach to the capacity allocation problem in the airline cargo industry
M Wada, F Delgado, BK Pagnoncelli
Journal of the Operational Research Society 68 (6), 643-651, 2017
Uma Introduçaoa Otimizaçao sob Incerteza
HJ Bortolossi, BK Pagnoncelli
III Bienal da Sociedade Brasileira de Matemática, 2006
Underground mine scheduling under uncertainty
P Nesbitt, LR Blake, P Lamas, M Goycoolea, BK Pagnoncelli, A Newman, ...
European Journal of Operational Research 294 (1), 340-352, 2021
Better management of production incidents in mining using multistage stochastic optimization
L Reus, B Pagnoncelli, M Armstrong
Resources Policy 63, 101404, 2019
The optimal harvesting problem under price uncertainty: the risk averse case
BK Pagnoncelli, A Piazza
Annals of Operations Research 258, 479-502, 2017
Pension Funds in Mexico and Chile: A Risk-Reward Comparison
H Schlechter, B Pagnoncelli, A Cifuentes
Available at SSRN 3359920, 2019
The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases
A Piazza, BK Pagnoncelli
Journal of Economics 115 (2), 175-194, 2015
Partially observable multistage stochastic programming
O Dowson, DP Morton, BK Pagnoncelli
Operations Research Letters 48 (4), 505-512, 2020
Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?
T Gutierrez, B Pagnoncelli, D Valladão, A Cifuentes
Insurance: Mathematics and Economics 86, 134-144, 2019
Designing coalition-based fair and stable pricing mechanisms under private information on consumers’ reservation prices
H Le Cadre, B Pagnoncelli, T Homem-De-Mello, O Beaude
European Journal of Operational Research 272 (1), 270-291, 2019
A provisioning problem with stochastic payments
BK Pagnoncelli, S Vanduffel
European journal of operational research 221 (2), 445-453, 2012
An ADMM algorithm for two-stage stochastic programming problems
S Arpón, T Homem-de-Mello, BK Pagnoncelli
Annals of Operations Research 286 (1), 559-582, 2020
Credit risk assessment of fixed income portfolios using explicit expressions
BK Pagnoncelli, A Cifuentes
Finance Research Letters 11 (3), 224-230, 2014
Multistage stochastic programs with the entropic risk measure
O Dowson, DP Morton, BK Pagnoncelli
Preprint, 2020
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