Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
Year of publication: |
16 April 2018
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Authors: | Mahmutoğulları, Ali İrfan ; Çavuş, Özlem ; Aktürk, M. Selim |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 266.2018, 2 (16.4.), p. 595-608
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Subject: | Stochastic programming | Mixed-integer multi-stage stochastic programming | Dynamic measures of risk | CVaR | Bounding | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Risiko | Risk |
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