Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

DOI10.1007/S10479-008-0504-1zbMATH Open1225.90090OpenAlexW2087529786MaRDI QIDQ993722FDOQ993722

Authors: E. Borgonovo, Lorenzo Peccati 

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0504-1

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zbMATH Keywords

stochastic programmingconditional value at riskcoherent risk measures

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cited In (2)

• Decision-network polynomials and the sensitivity of decision-support models
• What drives value creation in investment projects? An application of sensitivity analysis to project finance transactions

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