We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...
Abstract. In this paper, we study two-stage stochastic linear programming (SLP) problems with fixed recourse. The problem is often large scale as the objective function involves an expectation over a ...
"DynamicEconomic convinced me of the usefulness of the Lagrange method... The book is very dear and easy to follow; applications are interesting and dearly treated." Contributions to econometrics and ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback