Prof. RNDr. Jitka Dupačová, DrSc.

Main publications since 1996:

Monograph:

• Portfolio Optimization and Risk Management via Stochastic Programming. CSFI Lecture Notes Series 01, Osaka University Press 2009, ISBN 978-4-87259-276-4
• Stochastic Modeling in Economics and Finance. Kluwer 2002, Applied Optimization 75. With J. Hurt and J. Štěpán, ISBN 1-4020-0840-6.

Selected papers published (accepted) in Journals and fully refereed Collections:

• A note on effect of errors in input parameters on mean-variance efficient portfolios. Mathematical Methods in Economics (2015), pp. 156 - 160. . With T. Petras.
• Stress Testing For Risk-Averse Stochastic Programs Acta Math. Univ. Comenianae LXXXIV, 2 (2015), pp. 205 - 217.. With V. Kozmík.
• Output Analysis and Stress Testing for Risk Constrained Portfolios Chapter 5 of Quantitave Financial Risk Management, Theory and Practice, C. Zopounidis, E. Galariotis (eds.), Wiley 2015 . With M. Kopa.
• Structure of Risk-Averse Multistage Stochastic Programs OR Spectrum (2014), doi: 10.1007/s00291-014-0379-2 . With V. Kozmík. Available online
• Robustness of optimal portfolios under risk and stochastic dominance constraints European Journal of Operational Research 234 (2014), pp. 434 - 441. . With M. Kopa.
• Ways and means with scenarios Bulletin of the Czech Econometric Society 20 (2013), No. 31, pp. 112-123. ISSN 1212-074X. .
• Notes on Asymptotic Properties of Approximated Stochastic Programs Bulletin of the Czech Econometric Society 19 (2013), No. 30, ISSN 1212-074X. .
• Robustness Analysis of Stochastic Programs with Joint Probabilistic Constraints. In: 25th IFIP TC7 Conference on System Modelling and Optimization (D. Hömberg, F. Trölzsch, eds.), pp. 155-164. .
• Output analysis and stress testing for mean-variance efficient portfolios. Proceedings of 30th International Conference Mathematical Methods in Economics (2012), pp. 123 - 128. .
• Robustness in stochastic programs with risk constraints. Annals of Operations Research 200 (2012), pp. 55 - 74. DOI: 10.1007/s10479-010-0824-9. Preprint:. The original publication is available at www.springerlink.com. With M. Kopa.
• Uncertanities in Minimax Stochastic Programs. This is a preprint of an article whose final and definitive form has been published in the Optimization (copyright Taylor & Francis), 60:10-11, 1235-1250 . Optimization is available online at: www.informaworld.com. DOI: 10.1080/02331934.2010.532214.
• Approximation and contamination bounds for probabilistic programs. Annals of Operations Research, vol. 193, no. 1, 3-19, 2012, DOI: 10.1007/s10479-010-0811-1. Preprint:. The original publication is available at www.springerlink.com. With M. Branda.
• Stochastic geometric programming with an application. Kybernetika, Vol. 46 (2010) Issue 3, 374-386.
• Stochastic geometric programming: Approaches and applications. In V. Brožová, R Kvasnička, eds., Proceedings of MME09 (2009), 63 - 66.
• Testing the structure of multistage stochastic programs. Comput. Manag. Sci. 6 (2009), 161 - 185. With M. Bertocchi, V. Moriggia.
• Asset-liability management for Czech pension funds using stochastic programming. Ann. Oper. Res. 165 (2009), 5 - 28. With J. Polívka.
• Risk objectives in two-stage stochastic programming models. Kybernetika, Vol. 44 (2008) Issue 2.
• Pricing nondiversifiable credit risk in the corporate Eurobond market. J. Bank. Fin. 31 (2007) 2233--2263. With J. Abaffy, M. Bertocchi, V. Moriggia and G. Consigli.
• Stress testing for VaR and CVaR. Quantitative Finance 7 (2007), 411 - 421. With J. Polívka. See also SPEPS 2005-03. This is the author's version of the work. It is posted here by permission of Taylor & Francis for personal use, not for redistribution. The definitive version was published in Quantitative Finance, Volume 7 Issue 4, August 2007. doi:10.1080/14697680600973323.
• Horizon and stages in applications of stochastic programming in finance. Ann. Oper. Res. 142 (2006) (SP - Berlin 2001), 63 - 78. With M. Bertocchi and V. Moriggia.
• Bond portfolio management via stochastic programming. Chapter 7 of Handbook of Asset & Liability Management Vol. 1 (W. T. Ziemba and S. A. Zenios, eds.), Elsevier 2006, 305 - 336. With M. Bertocchi and V. Moriggia.
• Stress testing via contamination. Coping with Uncertainty: Modeling and Policy Issues (K. Marti et al., eds.), LNEMS 581 (2006), 29 - 46, Springer, Berlin.
• Stress testing via contamination. To appear in Proceedings of the Workshopon Coping with Uncertainty 2004 (K. Marti et al., eds.), LNEMS Springer, Berlin.
• Contamination for multistage stochastic programs. In: Proc. of Prague Stochastics 2006 (M. Hušková and M. Janžura, eds.), Matfyzpress 2006, 91 - 101. See also SPEPS 2006-06.
• Optimization under exogenous and endogenous uncertainty. In: Proc. of MME06 (L. Lukáš, ed.), University of West Bohemia 2006, 131 - 136.
• Melt control: Charge optimization via stochastic programming. In: Applications of Stochastic Programming (S. W. Wallace and W. T. Ziemba, eds.), MPS-SIAM Series in Optimization, SIAM 2005, 277 - 297. With P. Popela. See also SPEPS 2004-02.
• G. B. Dantzig 1914 - 2005. Bulletin of the Czech Econometric Society 22 (2005). With D. P. Morton.
• Reflections on output analysis for multistage stochastic programs. In: Dynamic stochastic optimization, Proc. of the IFIP/IIASA/GAMM workshop 2002 (Y. Ermoliev, K. Marti and G. Pflug, eds.), LNEMS 532 (2004), 3 - 20, Springer, Berlin.
• A nonparametric model for analysis of the EURO bond market. J. Econ. Dynamics Control 27 (2003), 1113 - 1131. With J. Abaffy, M. Bertocchi, R. Giacometti, M. Hušková and V. Moriggia.
• Scenario reduction in stochastic programming: An approach using probability metrics. Math. Progr. A95 (2003), 493 - 511. With N. Gröwe-Kuska and W. Römisch.
• Applications of stochastic programming: Achievements and questions. European J. of Oper. Res. 140 (2002), 281 - 290.
• Comparison of multistage stochastic programs with recourse and stochastic dynamic programs with discrete time. ZAMM 82 (2002), 753 - 765. With K. Sladký.
• Output analysis for approximated stochastic programs. In: Stochastic Optimization: Algorithms and Applications (S. Uryasev and P. M. Pardalos, eds.), Kluwer, 2001, 1 - 29.
• Stochastic programming: Minimax approach. In: Encyclopedia of Optimization (C. A. Floudas and P. M. Pardalos, eds.) Vol. V., Kluwer 2001, 327 - 330.
• From data to model and back to data: A bond portfolio management problem. European J. of Oper. Res. 134 (2001), 261 - 278. With M. Bertocchi.
• Generating scenarios for bond portfolios. Bulletin of the Czech Econometric Society 11 (2000), 3 - 27. With J. Abaffy, M. Bertocchi and V. Moriggia.
• Sensitivity analysis of a bond portfolio model for the Italian market. Control and Cybernetics 29 (2000), 595 - 615. With M. Bertocchi and V. Moriggia.
• Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: A simulation study. Ann. Oper. Res. 99 (2000), 267 - 286. With M. Bertocchi and V. Moriggia.
• Stability properties of a bond portfolio management problem. Ann. Oper. Res. 99 (2000), 251 - 265.
• Scenarios for multistage stochastic programs. Ann. Oper. Res. 100 (2000), 25 - 53. With G. Consigli and S. W. Wallace.
• Stochastic programming: Approximation via scenarios. Proceedings of 3rd Caribbean Conference on Approximation and Optimization, Puebla, 1995, EMIS Master Server http://www.emis.de/proceedings/index.html, Aportaciones Mathematicas, Ser. Comunicaciones 24 (1999), 77 - 94.
• Comparisons of different algorithms for fitting the Black-Derman-Toy lattice. In: Current Topics in Quantitative Finance, Proc. of the 21st meeting of the EURO WGFM, Venice, 1997 (E. Canestrelli, ed.), Physica Verlag, Heidelberg 1999, pp. 1 - 12. With J. Abaffy, M. Bertocchi and V. Moriggia.
• Portfolio optimization via stochastic programming: Methods of output analysis. MMOR 50 (1999), 245 - 270.
• Postoptimality for scenario based financial models with an application to bond portfolio management. In: World Wide Asset and Liability Modeling (W. Ziemba and J. Mulvey, eds.), Cambridge Univ. Press 1998, 263 - 285. With M. Bertocchi and V. Moriggia.
• Reflections on robust optimization. In: Stochastic Programming Methods and Technical Applications, Proc. of the 3rd GAMM/IFIP Workshop "Stochastic Optimization", Neubiberg 1996 (K. Marti and P. Kall, eds.) LNEMS 458 (1998), 111 - 127, Springer, Berlin.
• Quantitative stability for scenario-based stochastic programs. In: Prague Stochastics '98 (M. Hušková, et al., eds.), JČMF Prague 1998, 119 - 124. With W. Römisch.
• Moment bounds for stochastic programs in particular for recourse problems. In: Distributions with Given Marginals and Moment Problems (Proc. of the 3rd International Conference, Praha 1996) (V. Beneš and J. Štěpán, eds.), Kluwer, Dordrecht 1997, 199 - 204.
• Input analysis for a bond portfolio management model. ZAMM 77 (1997), Supplement 2, S541 - S542.
• Postoptimality for a bond portfolio management model. In: New Operational Approaches in Financial Modelling (Proc. of the 19th meeting of EURO WGFM, Chania, Crete, 1996) (C. Zopounidias, ed.), Physica Verlag, Heidelberg 1997, 49 - 62. With M. Bertocchi and V. Moriggia.
• On estimating the yield and volatility curves. Kybernetika 33 (1997), 659 - 673. With J. Abaffy, M. Bertocchi and M. Hušková.
• Scenario based stochastic programs: Resistance with respect to sample. Ann. Oper. Res. 64 (1996), 21 - 38.
• Uncertainty about input data in portfolio management. In: Modelling Techniques for Financial Markets and Bank Management (M. Bertocchi et al., eds.), Physica Verlag, 1996, 17 - 33.
• Management of bond portfolios via stochastic programming - postoptimality and sensitivity analysis. In: System Modelling and Optimization (Proc. of the 17th IFIP Conference, Prague 1995) (J. Doležal and J. Fidler, eds.), Chapman & Hall 1996, 574 - 581. With M. Bertocchi.
• Postoptimality analysis for scenario based stochastic programs: A survey. In: Parametric Optimization and Related Topics IV (J. Guddat et al., eds.), P. Lang Verlag, Frankfurt a. M. 1996, 43 - 57.

Appeared in electronic form in SPEPS (Stochastic programming e-print series):

• Uncertainties in Minimax Stochastic Programs. SPEPS 2009-09.
• Approximation and contamination bounds for probabilistic programs. SPEPS 2008-13. With M. Branda.
• Contamination for multistage stochastic programs. SPEPS 2006-06.
• Stress testing for VaR and CVaR. SPEPS 2005-03. With J. Polívka.
• Melt control: Charge optimization via stochastic programming. SPEPS 2004-02. With P. Popela.
• Asset-liability management for Czech pension funds using stochastic programming. SPEPS 2004-01. With J. Polívka.

Selected older papers:

• On minimax solutions of stochastic linear programming problems. Časopis pro pěstování matematiky, Vol. 91 (1966), No. 4, 423 – 430. (Jitka Žáčková)
• Minimax stochastic programs with nonconvex nonseparable penalty functions. In Progress in Operations Research, A. Prékopa, ed., J. Bolyai Math. Soc./North Holland, Budapest, 1976, 303 - 316
• Minimax approach to stochastic linear programming and the moment problem. EMO 13, 1977, 279 - 307; extended abstract ZAMM, 58 (1977), T466 - T46. (in Czech)
• Stability in stochastic programming with recourse - Estimated parameters. Mathematical programming 28, 1984, 72 - 83.
• Stability in stochastic programming with recourse. Contaminated distrirutions. Mathematical Programming Study 27, 1986, 133 - 144.
• The minimax approach to stochastic programming and an illustrative application. Stochastics 20, 1987, 73 - 88.
• Stochastic programming with incomplete information: A survey of results on postoptimization and sensitivity analysis. Optimization 18 (1987), 507 - 532.
• Asymptotic Behavior of Statistical Estimators and of Optimal Solutions of Stochastic Optimization Problems. The Annals of Statistics, Vol. 16, No. 4, 1988, 1517 - 1549. With R. Wets.
• Stability and sensitivity-analysis for stochastic programming. Annals of Operations Research 27 (1990), No 1.
• On non-normal asymptotic behavior of optimal solutions for stochastic programming problems and on related problems of mathematical statistics. Kybernetika, Vol. 27 (1991), No. 1, 38 – 52.
• Stochastic programming in water management: A case study and a comparison of solution techniques. European Journal of Operational Research 52 (1991), 28 - 44. With A. Gaivoronski, Z. Kos, T. Szantai.