Handling CVaR objectives and constraints in two-stage stochastic models |
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| Authors: | Csaba I Fábián |
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| Institution: | Department of Operations Research, Loránd Eötvös University of Budapest, P.O. Box 120, H-1518 Budapest, Hungary |
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| Abstract: | Based on the polyhedral representation of Künzi-Bay and Mayer Künzi-Bay, A., Mayer, J., 2006. Computational aspects of minimizing conditional value-at-risk. Computational Management Science 3, 3–27] , we propose decomposition frameworks for handling CVaR objectives and constraints in two-stage stochastic models. |
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| Keywords: | Stochastic programming Finance Convex programming Decomposition methods |
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