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Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective · Study

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ArticleRisk aversion in multistage stochastic programming: A modeling and algorithmic perspective

Tito Homem‐de‐Mello2015

Article2015

Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective

Tito Homem‐de‐Mello · Bernardo K. Pagnoncelli

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

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Risk and Portfolio Optimization Decision-Making and Behavioral Economics Stochastic processes and financial applications

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 2009Lectures on Stochastic Programming: Modeling and Theory 2003Scenario reduction in stochastic programming 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk 2001Generating Scenario Trees for Multistage Decision Problems 2000Scenario reduction in stochastic programming: An approach using probability metrics

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Details

Year2015

Typearticle

Published2015-06-04

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations103

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2015.05.048

openalex_workW579853240

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