Milos Kopa

30 papers Journal 29Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Measures of stochastic non-dominance in portfolio optimization.
Eur. J. Oper. Res.
Jana Junová, Milos Kopa
2025 J jnl
Robust approaches in portfolio optimization with stochastic dominance constraints.
OR Spectr.
Milos Kopa, Karel Kozmík
2023 J jnl
Contractivity of Bellman operator in risk averse dynamic programming with infinite horizon.
Oper. Res. Lett.
Milos Kopa, Martin Smíd
2023 J jnl
Implied volatility smoothing at COVID-19 times.
Comput. Manag. Sci.
Sebastiano Vitali, Milos Kopa, Gabriel E. Giana
2023 J jnl
Investment disputes and their explicit role in option market uncertainty and overall risk instability.
Comput. Manag. Sci.
Zdenek Drábek, Milos Kopa, Matús Maciak, Michal Pesta, Sebastiano Vitali
2023 J jnl
Robustness of stochastic programs with endogenous randomness via contamination.
Eur. J. Oper. Res.
Milos Kopa, Tomás Rusý
2022 J jnl
Special Issue: Topics in Stochastic Programming.
Math. Program.
Tito Homem-de-Mello, Milos Kopa, David P. Morton
2021 J jnl
A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision.
Ann. Oper. Res.
Milos Kopa, Tomás Rusý
2020 J jnl
Evaluation of scenario reduction algorithms with nested distance.
Comput. Manag. Sci.
Markéta Horejsová, Sebastiano Vitali, Milos Kopa, Vittorio Moriggia
2020 J jnl
Multi-stage emissions management of a steel company.
Ann. Oper. Res.
Frantisek Zapletal, Martin Smíd, Milos Kopa
2018 J jnl
An asset-liability management stochastic program of a leasing company.
Kybernetika
Tomás Rusý, Milos Kopa
2018 J jnl
Individual optimal pension allocation under stochastic dominance constraints.
Ann. Oper. Res.
Milos Kopa, Vittorio Moriggia, Sebastiano Vitali
2017 J jnl
Dynamic model of market with uninformed market maker.
Kybernetika
Martin Smíd, Milos Kopa
2017 J jnl
Implied volatility and state price density estimation: arbitrage analysis.
Comput. Manag. Sci.
Milos Kopa, Sebastiano Vitali, Tomás Tichý, Radek Hendrych
2017 J jnl
Multistage risk premiums in portfolio optimization.
Kybernetika
Milos Kopa, Barbora Petrová
2017 J jnl
Optimal pension fund composition for an Italian private pension plan sponsor.
Comput. Manag. Sci.
Sebastiano Vitali, Vittorio Moriggia, Milos Kopa
2017 J jnl
Portfolio Choice Based on Third-Degree Stochastic Dominance.
Manag. Sci.
Thierry Post, Milos Kopa
2017 J jnl
Special issue on the 12th international conference on computational management science.
Comput. Manag. Sci.
Milos Kopa, Wolfram Wiesemann
2016 J jnl
DEA models equivalent to general Nth order stochastic dominance efficiency tests.
Oper. Res. Lett.
Martin Branda, Milos Kopa
2015 J jnl
A general test for SSD portfolio efficiency.
OR Spectr.
Milos Kopa, Thierry Post
2015 J jnl
Linear Tests for Decreasing Absolute Risk Aversion Stochastic Dominance.
Manag. Sci.
Thierry Post, Yi Fang, Milos Kopa
2014 J jnl
On relations between DEA-risk models and stochastic dominance efficiency tests.
Central Eur. J. Oper. Res.
Martin Branda, Milos Kopa
2014 J jnl
Robustness of optimal portfolios under risk and stochastic dominance constraints.
Eur. J. Oper. Res.
Jitka Dupacová, Milos Kopa
2013 J jnl
General linear formulations of stochastic dominance criteria.
Eur. J. Oper. Res.
Thierry Post, Milos Kopa
2012 J jnl
Robustness in stochastic programs with risk constraints.
Ann. Oper. Res.
Jitka Dupacová, Milos Kopa
2011 — conf
Robustness in SSD portfolio efficiency testing.
OR
Milos Kopa
2010 J jnl
Measuring of second-order stochastic dominance portfolio efficiency.
Kybernetika
Milos Kopa
2010 J jnl
Special Issue: Mathematical Methods in Economy and Industry 2009 - the joint Czech-German-Slovak conference.
Kybernetika
Milos Kopa, Petr Lachout
2008 J jnl
A second-order stochastic dominance portfolio efficiency measure.
Kybernetika
Milos Kopa, Petr Chovanec
2007 J jnl
On extracting information implied in options.
Comput. Stat.
M. Benko, Matthias R. Fengler, Wolfgang K. Härdle, Milos Kopa