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Some Measures in Risk Management and Two-Stage Stochastic Optimization
Autores:
Julen Escudero,
María Merino Maestre
Localización:
BEIO, Boletín de Estadística e Investigación Operativa
,
ISSN
1889-3805,
Vol. 33, Nº. 1, 2017
,
págs.
22-42
Idioma:
inglés
Enlaces
Texto Completo Ejemplar
Referencias bibliográficas
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[3] Dupaˇcov´a, J. (1980). Minimax stochastic programs with nonseparable penalties. In Optimization Techniques, 157–163. Springer.
[4] Dupaˇcov´a, J. (1987). The minimax approach to stochastic programming and an illustrative application. Stochastics, 20(1), 73–88.
[5] Dupaˇcov´a, J. (2011). Uncertainties in minimax stochastic programs. Optimization, 60(10-11), 1235–1250.
[6] Escudero, J. and Merino, M. (2016). A brief introduction to two-stage stochastic optimization. BEIO, 32(2), 112–129.
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[9] Gollmer, R., Gotzes, U., and Schultz, R. (2011). A note on second-order stochastic dominance constraints induced by mixed-integer linear...
[10] Gollmer, R., Neise, F., and Schultz, R. (2008). Stochastic programs with first-order stochastic dominance constraints induced by mixed-integer...
[11] Hadar, J. and Russell, W. R. (1969). Rules for ordering uncertain prospects. AER, 25–34.
[12] Jorion, P. (1997). Value at risk: the new benchmark for controlling market risk. Irwin Professional Pub.
[13] Krokhmal, P., Zabarankin, M., and Uryasev, S. (2011). Modeling and optimization of risk. SORMS, 16(2), 49–66.
[14] Lehmann, E. L. (1955). Ordered families of distributions. Ann. Math. Stat., 399–419.
[15] Luedtke, J. (2008). New formulations for optimization under stochastic dominance constraints. SIAM J. Optimi., 19(3), 1433–1450.
[16] Mann, H. B. and Whitney, D. R. (1947). On a test of whether one of two random variables is stochastically larger than the other. Ann....
[17] Neise, F. (2008). Risk Management in Stochastic Integer Programming With Application to Dispersed Power Generation. Springer.
[18] P´erez, G. and Gar´ın, M. A. (2010). On downloading and using COINOR for solving linear/integer optimization problems. BILTOKI 2010-05, UPV/EHU.
[19] Pflug, G. C. (2000). Some remarks on the value-at-risk and the conditional value-at-risk. In Probabilistic constrained optimization,...
[20] Rockafellar, R. T. and Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of risk, 2, 21–42.
[21] Rockafellar, R. T. and Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. J. Bank. Financ., 26(7), 1443–1471.
[22] Sarykalin, S., Serraino, G., and Uryasev, S. (2008). Value-at-risk vs. conditional value-at-risk in risk management and optimization....
[23] Shapiro, A. and Ahmed, S. (2004). On a class of minimax stochastic programs. SIAM J. Optim., 14(4), 1237–1249.
[24] Shapiro, A. and Kleywegt, A. (2002). Minimax analysis of stochastic problems. OPTIM METHOD SOFTW, 17(3), 523–542.
[25] Wald, A. (1939). Contributions to the theory of statistical estimation and testing hypotheses. Ann. Math. Stat., 10(4), 299–326.
[26] Z´aˇckov´a, J. (1966). On minimax solutions of stochastic linear programming ˇ problems. Casopis pro pˇestov´an´ı matematiky ˇ , 91(4),...
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