Stochastic Programming Of Time-Consistent Extensions Of Avar
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Author / Producer
Date
2014
Publication Type
Journal Article
ETH Bibliography
yes
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Rights / License
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Publication status
published
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Journal / series
Volume
24 (3)
Pages / Article No.
993 - 1010
Publisher
SIAM
Event
Edition / version
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Software
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Date created
Subject
Multistage stochastic linear programming; Average value-at-risk; Conditional value-at-risk; Time consistency; Mean-risk optimization
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Notes
Submitted 7 January 2013, Accepted 30 April 2014, Published online 10 July 2014.