Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
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DOI: 10.1007/s10957-010-9676-3
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Cited by:
- Liu, Zhimin & Qu, Shaojian & Goh, Mark & Wu, Zhong & Huang, Ripeng & Ma, Gang, 2020. "Two-stage mean-risk stochastic optimization model for port cold storage capacity under pelagic fishery yield uncertainty," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
- Kim, Sojung & Weber, Stefan, 2022. "Simulation methods for robust risk assessment and the distorted mix approach," European Journal of Operational Research, Elsevier, vol. 298(1), pages 380-398.
- Min, Daiki & Chung, Jaewoo, 2013. "Evaluation of the long-term power generation mix: The case study of South Korea's energy policy," Energy Policy, Elsevier, vol. 62(C), pages 1544-1552.
- Hailin Sun & Huifu Xu & Yong Wang, 2014. "Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via Conditional Value at Risk and Difference of Convex Functions," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 257-284, April.
- Torraca, Ana Patrícia & Fanzeres, Bruno, 2021. "Optimal insurance contract specification in the upstream sector of the oil and gas industry," European Journal of Operational Research, Elsevier, vol. 295(2), pages 718-732.
- Sojung Kim & Stefan Weber, 2020. "Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach," Papers 2009.03653, arXiv.org, revised Jan 2022.
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Keywords
Conditional value-at-risk; Sample average approximation; Stochastic optimization; Variational analysis;All these keywords.
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