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Scenario decomposition of risk-averse stochastic optimization problems
2010
In the last decade the theory of coherent risk measures established itself as an alternative to expected utility models of risk averse preferences in stochastic optimization. Recently, increased attention is paid to dynamic measures of risk, which allow for risk-averse evaluation of streams of costs or rewards. When used in stochastic optimization models, dynamic risk measures lead to a new class of problems, which are significantly more complex than their risk-neutral counterparts.
doi:10.7282/t3h131td
fatcat:sukpjqruufcxtjobgz36xdjedy