Risk neutral reformulation approach to risk averse stochastic programming
Rui Peng Liu, Alexander Shapiro
| Year of publication: |
2020
|
|---|---|
| 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
|
| 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 |