Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
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Cites work
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Cited in
(54)- A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
- Term structure models in multistage stochastic programming: Estimation and approximation
- Stochastic programming: potential hazards when random variables reflect market interaction
- The effect of regularization in portfolio selection problems
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- Timely decision analysis enabled by efficient social media modeling
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Multistage adaptive robust optimization for the hydrothermal scheduling problem
- Risk management for forestry planning under uncertainty in demand and prices
- Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- On dealing with strategic and tactical decision levels in forestry planning under uncertainty
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- Minimax and risk averse multistage stochastic programming
- Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility
- Optimal procurement of flexibility services within electricity distribution networks
- Modeling and Implementation of Risk-Averse Preferences in Stochastic Programs Using Risk Measures
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- Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
- COVID-19: data-driven optimal allocation of ventilator supply under uncertainty and risk
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
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