Risk measures in stochastic programming and robust optimization problems

DOI10.1007/S10559-015-9780-3MaRDI QIDQ269131zbMATH OpenOpenAlexFDO

Authors V. S. Kirilyuk

Publication date 18 April 2016

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-015-9780-3

zbMATH Keywords

linear programmingimprecise probabilitiesrobust optimizationstochastic programmingconditional value-at-riskpolyhedral coherent risk measurespectral coherent risk measure

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

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• A soft robust model for optimization under ambiguity
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• Expected utility theory, optimal portfolios, and polyhedral coherent risk measures
• Generalized deviations in risk analysis
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• Lectures on Stochastic Programming
• Light robustness
• On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
• Polyhedral coherent risk measures and investment portfolio optimization
• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
• Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems
• Robust discrete optimization and its applications
• Robust optimization
• Robust solutions of linear programming problems contaminated with uncertain data
• The class of polyhedral coherent risk measures

Cited in

(15)

• Stochastic programming: potential hazards when random variables reflect market interaction
• scientific article; zbMATH DE number 5689707 (Why is no real title available?)
• Quadratic two-stage stochastic optimization with coherent measures of risk
• Risk management and operations research: a review and introduction to the special volume
• A composite risk measure framework for decision making under uncertainty
• Polyhedral coherent risk measure and distributionally robust portfolio optimization
• Biconvex Models and Algorithms for Risk Management Problems
• Stochastic linear programming with a distortion risk constraint
• Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
• Polyhedral coherent risk measures in the case of imprecise scenario estimates
• Polyhedral coherent risk measures and robust optimization
• Integer programming approaches in mean-risk models
• A Robust Optimization Perspective on Stochastic Programming
• scientific article; zbMATH DE number 3954655 (Why is no real title available?)
• Applying the minimum risk criterion in stochastic recourse programs

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