Risk aversion in multistage stochastic programming : a modeling and algorithmic perspective
Tito Homem-de-Mello, Bernardo K. Pagnoncelli
| Year of publication: |
2016
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|---|---|
| Authors: | Homem-de-Mello, Tito ; Pagnoncelli, Bernardo K. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 249.2016, 1 (16.2.), p. 188-199
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| Subject: | Stochastic programming | Risk aversion | Multistage | Consistency | Pension funds | Stochastischer Prozess | Stochastic process | Risikoaversion | Pensionskasse | Pension fund | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.05.048 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011435793