Conditional value‐at‐risk beyond finance: a survey (Q6090467): Difference between revisions

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scientific article; zbMATH DE number 7767485

Language	Label	Description	Also known as
English	Conditional value‐at‐risk beyond finance: a survey	scientific article; zbMATH DE number 7767485

Statements

scholarly article

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Conditional value‐at‐risk beyond finance: a survey (English)

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Maria Grazia Speranza

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International Transactions in Operational Research

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publication date

17 November 2023

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zbMATH Keywords

risk management

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literature review

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conditional value-at-risk

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optimization under uncertainty

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applications

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/itor.12726

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Coherent Measures of Risk

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A stochastic programming approach for the optimal management of aggregated distributed energy resources

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Time consistent dynamic risk measures

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Polynomial-time identification of robust network flows under uncertain arc failures

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Optimization of real asset portfolio using a coherent risk measure: Application to oil and energy industries

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A robust-CVaR optimization approach with application to breast cancer therapy

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Distributionally robust single machine scheduling with risk aversion

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The α-reliable mean-excess regret model for stochastic facility location modeling

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Technical Note—A Risk-Averse Newsvendor Model Under the CVaR Criterion

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A multiobjective metaheuristic for a mean-risk multistage capacity investment problem

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A multiobjective metaheuristic for a mean-risk multistage capacity investment problem with process flexibility

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The wireless network jamming problem

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Structure of risk-averse multistage stochastic programs

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Risk aversion in imperfect natural gas markets

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Handling CVaR objectives and constraints in two-stage stochastic models

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Dynamic conditional value-at-risk model for routing and scheduling of hazardous material transportation networks

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Mixed integer linear programming models for optimal crop selection

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Manufacturer's return policy in a two-stage supply chain with two risk-averse retailers and random demand

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Coordination in a retailer‐dominated supply chain with a risk‐averse manufacturer under marketing dependency

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Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints

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Optimization of discrete broadcast under uncertainty using conditional value-at-risk

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Cut generation for optimization problems with multivariate risk constraints

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Optimal procurement of flexibility services within electricity distribution networks

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Risk-averse formulations and methods for a virtual power plant

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Robust multicriteria risk-averse stochastic programming models

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A mean-risk mixed integer nonlinear program for transportation network protection

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The Minimum Spanning <i>k</i>-Core Problem with Bounded CVaR Under Probabilistic Edge Failures

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Detecting large risk-averse 2-clubs in graphs with random edge failures

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Conditional value at risk and related linear programming models for portfolio optimization

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Risk-averse two-stage stochastic programming with an application to disaster management

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Optimization with Multivariate Conditional Value-at-Risk Constraints

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Optimization with Stochastic Preferences Based on a General Class of Scalarization Functions

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Fair optimization and networks: a survey

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Dual Stochastic Dominance and Related Mean-Risk Models

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The newsvendor problem: review and directions for future research

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Generalized deviations in risk analysis

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A Column Generation Approach to Radiation Therapy Treatment Planning Using Aperture Modulation

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A New Linear Programming Approach to Radiation Therapy Treatment Planning Problems

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On risk-averse maximum weighted subgraph problems

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Supplier selection in make-to-order environment with risks

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Optimization of cost and service level in the presence of supply chain disruption risks: single vs. multiple sourcing

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Conditional value-at-risk in stochastic programs with mixed-integer recourse

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On a time consistency concept in risk averse multistage stochastic programming

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Reverse logistics network design and planning utilizing conditional value at risk

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Computational risk management techniques for fixed charge network flow problems with uncertain arc failures

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A robust approach based on conditional value-at-risk measure to statistical learning problems

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Effective location models for sorting recyclables in public management

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Distributionally Robust Control of Constrained Stochastic Systems

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Critical nodes in interdependent networks with deterministic and probabilistic cascading failures

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Sample average approximation of expected value constrained stochastic programs

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The risk-averse newsvendor problem with random capacity

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Optimal decisions when balancing expected profit and conditional value-at-risk in newsvendor models

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SUPPLY CHAIN COORDINATION WITH CVaR CRITERION

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Detecting robust cliques in graphs subject to uncertain edge failures

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Single and multi-period optimal inventory control models with risk-averse constraints

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Decomposition Algorithms for Risk-Averse Multistage Stochastic Programs with Application to Water Allocation under Uncertainty

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Stochastic and risk management models and solution algorithm for natural gas transmission network expansion and LNG terminal location planning

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1111/ITOR.12726

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Sitelinks

Mathematics(1 entry)

mardi Publication:6090467

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