Multilevel optimization modeling for risk-averse stochastic programming
Jonathan Eckstein (Department of Management Science and Information Systems and Rutgers Center for Operations Research, Rutgers University, Piscataway, New Jersey), Deniz Eskandani (Doctoral Program in Management Science, Rutgers Business School, Rutgers University, Piscataway, New Jersey), Jingnan Fan (Doctoral Program in Operations Research, Rutgers University, Piscataway, New Jersey)
| Year of publication: |
2016
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|---|---|
| Authors: | Eckstein, Jonathan ; Eskandani, Deniz ; Fan, Jingnan |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 28.2016, 1, p. 112-128
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| Subject: | optimization modeling | risk modeling | coherent risk measures | stochastic programming | time consistency | multilevel optimization | bilevel programming | computational complexity | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Risiko | Risk | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2015.0665 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011453805