Risk objectives in two-stage stochastic programming models

MaRDI QIDQ3604336zbMATH OpenFDO

Authors Jitka Dupačová

Publication date 24 February 2009

Full work available at URL https://eudml.org/doc/33923, http://www.kybernetika.cz/content/2008/2/227

zbMATH Keywords

robustnesscontaminationtwo-stage stochastic programspolyhedral risk objectivesbond portfolio management problem

Mathematics Subject Classification ID

Stochastic programming (90C15)

Recommendations

• Polyhedral Risk Measures in Stochastic Programming
• Weak continuity of risk functionals with applications to stochastic programming
• Stress testing for risk-averse stochastic programs
• Robustness in stochastic programs with risk constraints
• Stability of multistage stochastic programs incorporating polyhedral risk measures

Cites work

• scientific article; zbMATH DE number 5310108 (Why is no real title available?)
• scientific article; zbMATH DE number 1187200 (Why is no real title available?)
• scientific article; zbMATH DE number 5589691 (Why is no real title available?)
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• Generalized deviations in risk analysis
• Horizon and stages in applications of stochastic programming in finance
• Modeling, measuring and managing risk
• Optimization of risk measures
• Polyhedral Risk Measures in Stochastic Programming
• Postoptimality for multistage stochastic linear programs
• Risk management: value at risk and beyond.
• Robust Optimization of Large-Scale Systems
• Scenario-based stochastic programs: Resistance with respect to sample
• Sensitivity analysis of a bond portfolio model for the Italian market
• Some remarks on the value-at-risk and the conditional value-at-risk
• Stability and sensitivity-analysis for stochastic programming
• Stability in stochastic programming with recourse. Contaminated distributions
• Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs
• Stability of multistage stochastic programs incorporating polyhedral risk measures
• Stochastic finance. An introduction in discrete time
• Stochastic linear programming. Models, theory, and computation.
• Testing the structure of multistage stochastic programs

Cited in

(8)

• Stress testing for risk-averse stochastic programs
• Two-stage combinatorial optimization problems under risk
• Structure of risk-averse multistage stochastic programs
• Local stability and differentiability of the mean-conditional value at risk model defined on the mixed-integer loss functions
• Risk-averse two-stage stochastic programs in furniture plants
• Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
• Approximation and contamination bounds for probabilistic programs
• Robustness in stochastic programs with risk constraints

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