Decomposability and time consistency of risk averse multistage programs.

Alexander Shapiro Kerem Ugurlu

Published in: Oper. Res. Lett. (2016)

Keyphrases

expected utility
multistage
risk averse
utility function
risk aversion
risk neutral
stochastic programming
decision makers
single stage
dynamic programming
production system
lot sizing
stochastic optimization
decision making
finite horizon