Modeling and Implementation of Risk-Averse Preferences in Stochastic Programs Using Risk Measures

DOI10.1007/0-387-28654-3_5zbMath1155.90436OpenAlexW137438055MaRDI QIDQ3592845

Robert Murphey, Pavlo A. Krokhmal

Publication date: 24 September 2007

Published in: Robust Optimization-Directed Design (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-28654-3_5

zbMATH Keywords

stochastic programmingrisk measuresstochastic dominanceconvex analysis

Mathematics Subject Classification ID

Stochastic programming (90C15)

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