Socially responsible merchant operations: comparison of shutdown-averse CVaR and anticipated regret policies

DOI10.1016/j.orl.2021.06.002OpenAlexW3171490205MaRDI QIDQ2060601

Selvaprabu Nadarajah, Alessio Trivella

Publication date: 13 December 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2021.06.002

zbMATH Keywords

real optionsconditional value-at-riskanticipated regretsocial objectivesirreversible decisionscommodity operations

Mathematics Subject Classification ID

Systems theory; control (93-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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• Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures

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