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A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure

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  • Fanwen Meng
  • Jie Sun
  • Mark Goh

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  • Fanwen Meng & Jie Sun & Mark Goh, 2011. "A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure," Computational Optimization and Applications, Springer, vol. 50(2), pages 379-401, October.
    • Handle: RePEc:spr:coopap:v:50:y:2011:i:2:p:379-401
    DOI: 10.1007/s10589-010-9328-4
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    References listed on IDEAS

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    1. Yu, Chian-Son & Li, Han-Lin, 2000. "A robust optimization model for stochastic logistic problems," International Journal of Production Economics, Elsevier, vol. 64(1-3), pages 385-397, March.
    2. Alexandra Künzi-Bay & János Mayer, 2006. "Computational aspects of minimizing conditional value-at-risk," Computational Management Science, Springer, vol. 3(1), pages 3-27, January.
    3. Karthik Natarajan & Dessislava Pachamanova & Melvyn Sim, 2008. "Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization," Management Science, INFORMS, vol. 54(3), pages 573-585, March.
    4. Huifu Xu & Fanwen Meng, 2007. "Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints," Mathematics of Operations Research, INFORMS, vol. 32(3), pages 648-668, August.
    5. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    6. 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.
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    Cited by:

    1. Zhang Qingye & Gao Yan, 2017. "An Asset Allocation Model and Its Solving Method," Journal of Systems Science and Information, De Gruyter, vol. 5(2), pages 163-175, April.

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