| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6898632 | European Journal of Operational Research | 2012 | 8 Pages |
Abstract
⺠We study relations between the minimax, risk averse and nested formulations of multistage stochastic programming problems. ⺠We discuss conditions for time consistency of such formulations of stochastic problems. ⺠We also describe a connection between law invariant coherent risk measures and the corresponding sets of probability measures in their dual representation.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Alexander Shapiro,