Measuring risk for income streams
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Publication:2574064
DOI10.1007/s10589-005-2058-3zbMath1085.90041WikidataQ59255091 ScholiaQ59255091MaRDI QIDQ2574064
Ruszczyński, Andrzej, Georg Ch. Pflug
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
multistage stochastic programming; dynamic risk measure; conditional value at risk; value of perfect information; multiperiod mean-risk models
90C15: Stochastic programming
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