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Stochastic Programming of Time-Consistent Extensions of AVaR - MaRDI portal

Stochastic Programming of Time-Consistent Extensions of AVaR

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Publication:2934467

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DOI10.1137/130905046zbMath1326.90057OpenAlexW2074098159MaRDI QIDQ2934467

Publication date: 12 December 2014

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/35579d25b7785eed8d1aad34f01eb7d80a0321f9

zbMATH Keywords

multistage stochastic programming mean risk optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (1)

A quantitative comparison of risk measures

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