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Risk-averse multistage stochastic programs with expected conditional risk measures.
Maryam Khatami
Thuener Silva
Bernardo K. Pagnoncelli
Lewis Ntaimo
Published in:
Comput. Oper. Res. (2024)
Keyphrases
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risk measures
risk averse
stochastic programming
multistage
linear program
decision makers
utility function
portfolio management
portfolio selection
expected utility
robust optimization
capacity expansion
linear programming
decision making
objective function
stochastic processes