A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs.

Vincent Guigues Volker Krätschmer Alexander Shapiro

Published in: SIAM J. Optim. (2018)

Keyphrases

risk averse
central limit theorem
risk neutral
probability distribution
utility function
decision makers
risk aversion
stochastic programming
portfolio management
heavy traffic
special case