Handling CVaR objectives and constraints in two-stage stochastic models

Csaba I. Fábián

European Journal of Operational Research, 2008, vol. 191, issue 3, 888-911

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. For the solution of the decomposed problems we propose special Level-type methods.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:191:y:2008:i:3:p:888-911

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