Martingale characterizations of risk-averse stochastic optimization problems.

Alois Pichler Ruben Schlotter

Published in: Math. Program. (2020)

Keyphrases

stochastic optimization problems
risk averse
risk neutral
random variables
utility function
risk aversion
stochastic programming
decision makers
optimization problems
control policies
portfolio management
evolutionary algorithm
expected utility
mobile robot
graphical models
factor analysis