A two-step capital variation model: optimization by different statistical criteria

DOI10.1007/s10513-005-0154-6zbMath1113.91028OpenAlexW2078124181MaRDI QIDQ2577225

A. I. Kibzun, B. V. Vishnyakov

Publication date: 19 December 2005

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10513-005-0154-6

Mathematics Subject Classification ID

Related Items (4)

Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion ⋮ The decomposition method for two-stage stochastic linear programming problems with quantile criterion ⋮ Selection of a fixed-income portfolio ⋮ Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion

Cites Work

• On the worst-case distribution in stochastic optimization problems with probability function
• Comparison of VaR and CVaR criteria
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