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Auflistung nach Autor "Fabian, Csaba I."
Anzeige der Publikationen 1-3 von 3
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2007-08-10BuchAlgorithms for handling CVaR-constraints in dynamic stochastic programming models with applications to finance Fabian, Csaba I.; Veszpremi, AnnaWe propose dual decomposition and solution schemes for multistage CVaR-constrained problems. These schemes meet the need for handling multiple CVaR-constraints for different time frames and at different confidence levels. ...
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2005-12-29BuchDecomposing CVaR minimization in two-stage stochastic models Fabian, Csaba I.Based on the polyhedral representation of Künzi-Bay and Mayer (2005), we propose a decomposition framework for the minimization of CVaR in two-stage stochastic models.We show that the decomposed problems can be effectively ...
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2008-07-02BuchProcessing Second-Order Stochastic Dominance models using cutting-plane representations Fabian, Csaba I.; Mitra, Gautam; Roman, DianaSecond-order stochastic dominance (SSD) is widely recognised as an important decision criteria in portfolio selection. Unfortunately, stochastic dominance models can be very demanding from a computational point of view. ...