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Handling CVaR objectives and constraints in two-stage stochastic models

  • Fábián, Csaba I.
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    Based on the polyhedral representation of Künzi-Bay and Mayer [Künzi-Bay, A., Mayer, J., 2006. Computational aspects of minimizing conditional value-at-risk. Computational Management Science 3, 3-27] , we propose decomposition frameworks for handling CVaR objectives and constraints in two-stage stochastic models. For the solution of the decomposed problems we propose special Level-type methods.

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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 191 (2008)
    Issue (Month): 3 (December)
    Pages: 888-911

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    Handle: RePEc:eee:ejores:v:191:y:2008:i:3:p:888-911
    Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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    1. Norbert Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Center for Financial Institutions Working Papers 01-24, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    3. Alexandra Künzi-Bay & János Mayer, 2006. "Computational aspects of minimizing conditional value-at-risk," Computational Management Science, Springer, vol. 3(1), pages 3-27, 01.
    4. A. Charnes & W. W. Cooper & G. H. Symonds, 1958. "Cost Horizons and Certainty Equivalents: An Approach to Stochastic Programming of Heating Oil," Management Science, INFORMS, vol. 4(3), pages 235-263, April.
    5. Klein Haneveld, Willem K. & Vlerk, Maarten H. van der, 2002. "Integrated chance constraints: reduced forms and an algorithm," Research Report 02A33, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    6. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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