Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse
نویسندگان
چکیده
منابع مشابه
Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models studied in mathematical finance for several decades have attracted attention in stochastic programming. We consider Conditional Value-at-Risk as risk measure in the framework of two-stage stochastic integer programming. The paper addresses structure, stability, and algori...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2005
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-005-0658-4