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ArticleMinimax and risk averse multistage stochastic programming

Alexander Shapiro2011

Article2011

Minimax and risk averse multistage stochastic programming

Alexander Shapiro

85 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Supply Chain and Inventory Management Optimization and Mathematical Programming

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Foundations of Inventory Management 2009Lectures on Stochastic Programming: Modeling and Theory 2004Adjustable robust solutions of uncertain linear programs 2002Stochastic Finance: An Introduction in Discrete Time 2004Adjustable robust solutions of uncertain linear programs 2004Stochastic Finance

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2013Worst-Case-Expectation Approach to Optimization Under Uncertainty 2016Rectangular Sets of Probability Measures 2021Risk, Risk Aversion, and Agricultural Technology Adoption ─ A Novel Valuation Method Based on Real Options and Inverse Stochastic Dominance 2020Time (in)consistency of multistage distributionally robust inventory models with moment constraints 2014Robust optimisation for risk-averse multi-period inventory decision with partial demand distribution information 2022Distributionally Robust Inventory Control When Demand Is a Martingale

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Year2011

Typearticle

Published2011-11-11

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations85

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2011.11.005

openalex_workW2136013738

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