Risk-averse multistage stochastic programs with expected conditional risk measures
Maryam Khatami, Thuener Silva, Bernardo K. Pagnoncelli, Lewis Ntaimo
| Year of publication: |
2024
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|---|---|
| Authors: | Khatami, Maryam ; Silva, Thuener ; Pagnoncelli, Bernardo K. ; Ntaimo, Lewis |
| Published in: |
Computers & operations research : an international journal. - Amsterdam [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 1499736-8. - Vol. 172.2024, Art.-No. 106802, p. 1-13
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| Subject: | Stochastic programming | Decomposition algorithms | Expected conditional risk measures | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Risiko | Risk | Dekompositionsverfahren | Decomposition method | Erwartungsbildung | Expectation formation | Messung | Measurement | Risikoaversion | Risk aversion | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2024.106802 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015066893