Risk neutral reformulation approach to risk averse stochastic programming
Rui Peng Liu, Alexander Shapiro
| Year of publication: |
2020
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|---|---|
| Authors: | Liu, Rui Peng ; Shapiro, Alexander |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 286.2020, 1 (1.10.), p. 21-31
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| Subject: | Stochastic programming | Risk measures | Stochastic dual dynamic programming | Importance sampling | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Risiko | Risk | Risikoaversion | Risk aversion | Stichprobenerhebung | Sampling | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Entscheidung unter Risiko | Decision under risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.01.060 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012239878