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On a time consistency concept in risk averse multistage stochastic programming
Shapiro, Alexander - In: Operations research letters 37 (2009) 3, pp. 143-147
Persistent link: https://www.econbiz.de/10003903823
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On Kusuoka representation of law invariant risk measures
Shapiro, Alexander - In: Mathematics of operations research 38 (2013) 1, pp. 142-152
Persistent link: https://www.econbiz.de/10009727684
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Time consistency of dynamic risk measures
Shapiro, Alexander - In: Operations research letters 40 (2012) 6, pp. 436-439
Persistent link: https://www.econbiz.de/10009716583
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Minimax and risk averse multistage stochastic programming
Shapiro, Alexander - In: European journal of operational research : EJOR 219 (2012) 3, pp. 719-726
Persistent link: https://www.econbiz.de/10009526593
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Interchangeability principle and dynamic equations in risk averse stochastic programming
Shapiro, Alexander - In: Operations research letters 45 (2017) 4, pp. 377-381
Persistent link: https://www.econbiz.de/10011740612
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Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
Shapiro, Alexander - In: European journal of operational research : EJOR 288 (2021) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10012496519
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Risk neutral and risk averse Stochastic Dual Dynamic Programming method
Shapiro, Alexander; Tekaya, Wajdi; Costa, Joari Paulo da; … - In: European journal of operational research : EJOR 224 (2013) 2, pp. 375-391
Persistent link: https://www.econbiz.de/10009683060
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Bounds for nested law invariant coherent risk measures
Xin, Linwei; Shapiro, Alexander - In: Operations research letters 40 (2012) 6, pp. 431-435
Persistent link: https://www.econbiz.de/10009716584
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Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989
Persistent link: https://www.econbiz.de/10011445359
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Decomposability and time consistency of risk averse multistage programs
Shapiro, Alexander; Ugurlu, K. - In: Operations research letters 44 (2016) 5, pp. 663-665
Persistent link: https://www.econbiz.de/10011596625