Login / Signup

Optimal regime switching under risk aversion and uncertainty.

Michail ChronopoulosSara Lumbreras
Published in: Eur. J. Oper. Res. (2017)
Keyphrases
  • stochastic programming
  • risk averse
  • risk neutral
  • risk aversion
  • dynamic programming
  • optimal solution
  • multi objective
  • cost function
  • utility function
  • multi objective optimization
  • asymptotically optimal