Measuring risk for income streams

DOI10.1007/S10589-005-2058-3zbMath1085.90041OpenAlexW2048109340WikidataQ59255091 ScholiaQ59255091MaRDI QIDQ2574064

Georg Ch. Pflug, Ruszczyński, Andrzej

Publication date: 16 November 2005

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-005-2058-3

zbMATH Keywords

multistage stochastic programmingdynamic risk measureconditional value at riskvalue of perfect informationmultiperiod mean-risk models

Mathematics Subject Classification ID

Stochastic programming (90C15)

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