Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
Ali İrfan Mahmutoğulları, Özlem Çavuş, M. Selim Aktürk
| Year of publication: |
16 April 2018
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| Authors: | Mahmutoğulları, Ali İrfan ; Çavuş, Özlem ; Aktürk, M. Selim |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 266.2018, 2 (16.4.), p. 595-608
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| Subject: | Stochastic programming | Mixed-integer multi-stage stochastic programming | Dynamic measures of risk | CVaR | Bounding | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Dynamische Optimierung | Dynamic programming | Risikomaß | Risk measure |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.10.038 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011811837