Risk objectives in two-stage stochastic programming models
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Publication:3604336
zbMATH Open1154.91500MaRDI QIDQ3604336FDOQ3604336
Authors: Jitka Dupačová 
Publication date: 24 February 2009
Full work available at URL: https://eudml.org/doc/33923
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
robustnesscontaminationtwo-stage stochastic programspolyhedral risk objectivesbond portfolio management problem
Cites Work
- Coherent measures of risk
- Generalized deviations in risk analysis
- Modeling, measuring and managing risk
- Dual Stochastic Dominance and Related Mean-Risk Models
- Robust Optimization of Large-Scale Systems
- Stochastic finance. An introduction in discrete time
- Convexity and decomposition of mean-risk stochastic programs
- Some remarks on the value-at-risk and the conditional value-at-risk
- Horizon and stages in applications of stochastic programming in finance
- Optimization of risk measures
- Polyhedral Risk Measures in Stochastic Programming
- Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs
- Scenario-based stochastic programs: Resistance with respect to sample
- Stability and sensitivity-analysis for stochastic programming
- Stochastic linear programming. Models, theory, and computation.
- Title not available (Why is that?)
- Postoptimality for multistage stochastic linear programs
- Stability in stochastic programming with recourse. Contaminated distributions
- Stability of multistage stochastic programs incorporating polyhedral risk measures
- Title not available (Why is that?)
- Testing the structure of multistage stochastic programs
- Title not available (Why is that?)
- Sensitivity analysis of a bond portfolio model for the Italian market
- Risk management: value at risk and beyond.
Cited In (8)
- 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
- Stress testing for risk-averse stochastic programs
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