Time consistent expected mean-variance in multistage stochastic quadratic optimization : a model and a matheuristic
Unai Aldasoro, María Merino, Gloria Pérez
| Year of publication: |
2019
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|---|---|
| Authors: | Aldasoro, Unai |
| Published in: |
Annals of operations research ; volume 280, numbers 1/2 (September 2019). - New York, NY, USA : Springer. - 2019, p. 151-187
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| Subject: | Merino, María$BVerfasserIn$4aut | Pérez, Gloria$BVerfasserIn$4aut | Branch-and-Fix Coordination | Expected Conditional Risk Measures | Matheuristic algorithms | McCormick relaxation | Multistage stochastic optimization | Quadratic mixed 0-1 programming | Production planning | Time consistent risk aversion | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Erwartungsbildung | Expectation formation | Portfolio-Management | Portfolio selection | Risiko | Risk | Produktionsplanung |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-3032-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116213