Eskandarzadeh, Saman; Eshghi, Kourosh - In: European Journal of Operational Research 231 (2013) 1, pp. 131-140
Risk aversion is a prevalent phenomenon when sufficiently large amounts are at risk. In this paper, we introduce a new prescriptive approach for coping with risk in sequential decision problems with discrete scenario space. We use Conditional Value-at-Risk (CVaR) risk measure as optimization...