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2006

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Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse

14 years 7 days ago

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In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades -...

Rüdiger Schultz, Stephan Tiedemann

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Id	Views	Title	Status

1	175	Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse	claim
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