Browsing by Author "Tiedemann, Stephan"

Now showing items 1-2 of 2

2004-09-13Buch

Conditional value-at-risk in stochastic programs with mixed-integer recourse

Schultz, Rüdiger; Tiedemann, Stephan

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 -- have attracted attention in stochastic ...
2002-08-16Buch

Risk aversion via excess probabilities in stochastic programs with mixed-integer recourse

Schultz, Rüdiger; Tiedemann, Stephan

We consider linear two-stage stochastic programs with mixed-integer recourse. Instead of basing the selection of an optimal first-stage solution on expected costs alone, we include into the objective a risk term reflecting ...