Risk-averse stochastic optimal control : An efficiently computable statistical upper bound
Vincent Guigues, Alexander Shapiro, Yi Cheng
| Year of publication: |
2023
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|---|---|
| Authors: | Guigues, Vincent ; Shapiro, Alexander ; Cheng, Yi |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 51.2023, 4, p. 393-400
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| Subject: | Dynamic programming | Risk measures | SDDP | Statistical upper bounds | Stochastic optimal control | Stochastic programming | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2023.05.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014426574