Single-stage decision models

Georg Ch PfIug and Werner Römisch
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Georg Ch PfIug: University of Vienna, Austria
Werner Römisch: Humboldt-University Berlin, Germany

Chapter 4 in Modeling, Measuring and Managing Risk, 2007, pp 175-210 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Stochastic optimizationEfficient frontiersSimple deviation risk modelsDiscrete modelsStandard deviation efficiencyLower standard deviation efficiencyMean absolute deviation efficiencyAverage value-at-risk deviation efficiencyValue-at-risk deviation efficiencyMinimal loss efficiencyDistortion efficiencyRisk contributions

Keywords: Risk Management; Risk Measures; Stochastic Optimization; Stochastic Models; Decision Making under Uncertainty (search for similar items in EconPapers)
Date: 2007
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