Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance
نویسندگان
چکیده
منابع مشابه
Handling CVaR objectives and constraints in two-stage stochastic models
Based on the polyhedral representation of Künzi-Bay and Mayer (2006), we propose decomposition frameworks for handling CVaR objectives and constraints in two-stage stochastic models. For the solution of the decomposed problems we propose special Level-type methods.
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ژورنال
عنوان ژورنال: The Journal of Risk
سال: 2008
ISSN: 1465-1211
DOI: 10.21314/jor.2008.175