Structure of risk-averse multistage stochastic programs
Jitka Dupačová; Václav Kozmík
| Year of publication: |
2015
|
|---|---|
| Authors: | Dupačová, Jitka ; Kozmík, Václav |
| Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 37.2015, 3, p. 559-582
|
| Subject: | Multistage stochastic programming | Multiperiod risk measures | Stochastic dual dynamic programming | Contamination | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011296750