Milos Kopa

Publication Activity (10 Years)

Years Active: 2007-2023
Publications (10 Years): 19

Top Topics

Stochastic Dominance

Portfolio Optimization

Top Venues

Comput. Manag. Sci.

Ann. Oper. Res.

Eur. J. Oper. Res.

Publications

Zdenek Drábek, Milos Kopa, Matús Maciak, Michal Pesta, Sebastiano Vitali
Investment disputes and their explicit role in option market uncertainty and overall risk instability. Comput. Manag. Sci. 20 (1) (2023)
Milos Kopa, Tomás Rusý
Robustness of stochastic programs with endogenous randomness via contamination. Eur. J. Oper. Res. 305 (3) (2023)
Milos Kopa, Martin Smíd
Contractivity of Bellman operator in risk averse dynamic programming with infinite horizon. Oper. Res. Lett. 51 (2) (2023)
Sebastiano Vitali, Milos Kopa, Gabriel E. Giana
Implied volatility smoothing at COVID-19 times. Comput. Manag. Sci. 20 (1) (2023)
Tito Homem-de-Mello, Milos Kopa, David P. Morton
Special Issue: Topics in Stochastic Programming. Math. Program. 191 (1) (2022)
Milos Kopa, Tomás Rusý
A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision. Ann. Oper. Res. 299 (1) (2021)
Markéta Horejsová, Sebastiano Vitali, Milos Kopa, Vittorio Moriggia
Evaluation of scenario reduction algorithms with nested distance. Comput. Manag. Sci. 17 (2) (2020)
Frantisek Zapletal, Martin Smíd, Milos Kopa
Multi-stage emissions management of a steel company. Ann. Oper. Res. 292 (2) (2020)
Tomás Rusý, Milos Kopa
An asset-liability management stochastic program of a leasing company. Kybernetika 54 (6) (2018)
Milos Kopa, Vittorio Moriggia, Sebastiano Vitali
Individual optimal pension allocation under stochastic dominance constraints. Ann. Oper. Res. 260 (1-2) (2018)
Milos Kopa, Wolfram Wiesemann
Special issue on the 12th international conference on computational management science. Comput. Manag. Sci. 14 (1) (2017)
Sebastiano Vitali, Vittorio Moriggia, Milos Kopa
Optimal pension fund composition for an Italian private pension plan sponsor. Comput. Manag. Sci. 14 (1) (2017)
Milos Kopa, Barbora Petrová
Multistage risk premiums in portfolio optimization. Kybernetika 53 (6) (2017)
Thierry Post, Milos Kopa
Portfolio Choice Based on Third-Degree Stochastic Dominance. Manag. Sci. 63 (10) (2017)
Martin Smíd, Milos Kopa
Dynamic model of market with uninformed market maker. Kybernetika 53 (5) (2017)
Milos Kopa, Sebastiano Vitali, Tomás Tichý, Radek Hendrych
Implied volatility and state price density estimation: arbitrage analysis. Comput. Manag. Sci. 14 (4) (2017)
Martin Branda, Milos Kopa
DEA models equivalent to general Nth order stochastic dominance efficiency tests. Oper. Res. Lett. 44 (2) (2016)
Thierry Post, Yi Fang, Milos Kopa
Linear Tests for Decreasing Absolute Risk Aversion Stochastic Dominance. Manag. Sci. 61 (7) (2015)
Milos Kopa, Thierry Post
A general test for SSD portfolio efficiency. OR Spectr. 37 (3) (2015)
Jitka Dupacová, Milos Kopa
Robustness of optimal portfolios under risk and stochastic dominance constraints. Eur. J. Oper. Res. 234 (2) (2014)
Martin Branda, Milos Kopa
On relations between DEA-risk models and stochastic dominance efficiency tests. Central Eur. J. Oper. Res. 22 (1) (2014)
Thierry Post, Milos Kopa
General linear formulations of stochastic dominance criteria. Eur. J. Oper. Res. 230 (2) (2013)
Jitka Dupacová, Milos Kopa
Robustness in stochastic programs with risk constraints. Ann. Oper. Res. 200 (1) (2012)
Milos Kopa
Robustness in SSD portfolio efficiency testing. OR (2011)
Milos Kopa, Petr Lachout
Special Issue: Mathematical Methods in Economy and Industry 2009 - the joint Czech-German-Slovak conference. Kybernetika 46 (3) (2010)
Milos Kopa
Measuring of second-order stochastic dominance portfolio efficiency. Kybernetika 46 (3) (2010)
Milos Kopa, Petr Chovanec
A second-order stochastic dominance portfolio efficiency measure. Kybernetika 44 (2) (2008)
M. Benko, Matthias Fengler, Wolfgang K. Härdle, Milos Kopa
On extracting information implied in options. Comput. Stat. 22 (4) (2007)