A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
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Volume (Year): 50 (2011)
Issue (Month): 2 (October)
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- 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.
- 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.
- 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.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- 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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