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Strong convexity in risk-averse stochastic programs with complete recourse.
Matthias Claus
Rüdiger Schultz
Kai Spürkel
Published in:
Comput. Manag. Sci. (2018)
Keyphrases
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risk averse
stochastic programming
risk neutral
multistage
risk aversion
utility function
portfolio management
linear program
decision making
robust optimization
cost function
linear programming