Browsing by Author "Fabian, Csaba I."

Now showing items 1-3 of 3

2007-08-10Buch

Algorithms for handling CVaR-constraints in dynamic stochastic programming models with applications to finance

Fabian, Csaba I.; Veszpremi, Anna

We 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. ...
2005-12-29Buch

Decomposing 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 ...
2008-07-02Buch

Processing Second-Order Stochastic Dominance models using cutting-plane representations

Fabian, Csaba I.; Mitra, Gautam; Roman, Diana

Second-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. ...