risk averse semidefinite stochastic Programs.
Rüdiger SchultzTobias WollenbergPublished in: RAIRO Oper. Res. (2017)
Keyphrases
- semidefinite
- risk averse
- risk neutral
- semidefinite programming
- stochastic programming
- decision makers
- utility function
- convex relaxation
- portfolio management
- sufficient conditions
- higher dimensional
- interior point methods
- multistage
- expected utility
- convex sets
- convex optimization
- cost sensitive
- linear program
- linear programming