Risk measures in stochastic programming and robust optimization problems

DOI10.1007/s10559-015-9780-3zbMath1334.90093OpenAlexW2341121397MaRDI QIDQ269131

V. S. Kirilyuk

Publication date: 18 April 2016

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-015-9780-3

zbMATH Keywords

linear programmingstochastic programmingrobust optimizationimprecise probabilitiesconditional value-at-riskpolyhedral coherent risk measurespectral coherent risk measure

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (3)

Polyhedral coherent risk measures and robust optimization ⋮ Polyhedral coherent risk measure and distributionally robust portfolio optimization ⋮ Polyhedral coherent risk measures in the case of imprecise scenario estimates

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
• Generalized light robustness and the trade-off between robustness and nominal quality
• Expected utility theory, optimal portfolios, and polyhedral coherent risk measures
• Polyhedral coherent risk measures and investment portfolio optimization
• Robust discrete optimization and its applications
• Robust solutions of linear programming problems contaminated with uncertain data
• Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems
• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
• Generalized deviations in risk analysis
• Convexity and decomposition of mean-risk stochastic programs
• The class of polyhedral coherent risk measures
• Coherent Measures of Risk
• A unified approach for different concepts of robustness and stochastic programming via non-linear scalarizing functionals
• A Soft Robust Model for Optimization Under Ambiguity
• Lectures on Stochastic Programming
• Light Robustness

This page was built for publication: Risk measures in stochastic programming and robust optimization problems