Stochastic Combinatorial Optimization with Controllable Risk Aversion Level
نویسندگان
چکیده
منابع مشابه
Stochastic Combinatorial Optimization with Controllable Risk Aversion Level
Most of the recent work on 2–stage stochastic combinatorial optimization problems have focused on the minimization of the expected cost or the worst–case cost of the solution. Those two objectives can be viewed as two extreme ways of handling risk. In this paper we propose to use an one–parameter family of functionals to interpolate between them. Although such a family has been used in the math...
متن کاملStochastic Combinatorial Optimization with Risk
We consider general combinatorial optimization problems that can be formulated as minimizing the weight of a feasible solution wTx over an arbitrary feasible set. For these problems we describe a broad class of corresponding stochastic problems where the weight vector W has independent random components, unknown at the time of solution. A natural and important objective which incorporates risk ...
متن کاملConsidering Stochastic and Combinatorial Optimization
Here, issues connected with characteristic stochastic practices are considered. In the first part, the plausibility of covering the arrangements of an improvement issue on subjective subgraphs is studied. The impulse for this strategy is a state where an advancement issue must be settled as often as possible for discretionary illustrations. Then, a preprocessing stage is considered that would q...
متن کاملModels for Minimax Stochastic Linear Optimization Problems with Risk Aversion
We propose a semidefinite optimization (SDP) model for the class of minimax two-stage stochastic linear optimization problems with risk aversion. The distribution of second-stage random variables belongs to a set of multivariate distributions with known first and second moments. For the minimax stochastic problem with random objective, we provide a tight SDP formulation. The problem with random...
متن کاملWhat Drives Stochastic Risk Aversion
I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time-series specification tests with nonlinear state-space models with heteroskedasticity based on Merton (1973)’s ICAPM. I then established the following facts. First, the surplus consumption ratio implied by the external habit formation model is the most important determinant of re...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2009
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.1090.0390