A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
Maciej Rysz; Alexander Vinel; Pavlo Krokhmal; Eduardo L. Pasiliao
| Year of publication: |
2015
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| Authors: | Rysz, Maciej ; Vinel, Alexander ; Krokhmal, Pavlo ; Pasiliao, Eduardo L. |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 27.2015, 2, p. 416-430
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| Subject: | stochastic optimization | risk measures | utility theory | certainty equivalent | scenario decomposition | higher-moment coherent risk measures | log-exponential convex risk measures | Risikomaß | Risk measure | Theorie | Theory | Messung | Measurement | Risiko | Risk | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Dekompositionsverfahren | Decomposition method | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011291285