An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
Year of publication: |
2015
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Authors: | Escudero, Laureano F. ; Monge, Juan Francisco ; Romero Morales, MarĂa Dolores |
Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 58.2015, p. 32-40
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Subject: | Multiperiod stochastic mixed 0-1 linear programming | Risk averse | Stochastic dominance constraints | Stochastic dynamic programming | Cross-scenario constraints | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risikoaversion | Risk aversion |
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