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Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse · Study

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ArticleConditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse

Rüdiger Schultz2005

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Articlegreen2005

Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse

Rüdiger Schultz · Stephan Tiedemann

182 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Optimal Power Flow Distribution Advanced Optimization Algorithms Research

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2011Introduction to Stochastic Programming 2002Conditional value-at-risk for general loss distributions 2010Stochastic Programming 2002On the coherence of expected shortfall 1995Stochastic Programming 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

Cited by

2012PySP: modeling and solving stochastic programs in Python 2013Incorporating risk measures in closed-loop supply chain network design 2014A case-oriented approach to a lead/acid battery closed-loop supply chain network design under risk and uncertainty 2015Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective 2019Conditional value‐at‐risk beyond finance: a survey 2010Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition

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Details

Year2005

Typearticle

Published2005-11-10

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations182

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-005-0658-4

openalex_workW2127923765

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2008

Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse

2007Stochastic 0–1 linear programming under limited distributional information