Volume 2011

Recent Submissions

2011-11-28Buch

On the Geometry of Acceptability Functionals

Pichler, Alois

In this paper we discuss the geometry of acceptability functionals or risk measures. The dependenceof the random variable is investigated ﬁrst. The main contribution and focus of this paper is to studyhow acceptability ...
2011-11-28Buch

Multistage Optimization

Pflug, Georg Ch.; Pichler, Alois

We provide a new identity for the multistage Average Value-at-Risk. The identity is based on the conditional Average Value-at-Risk at random level, which is introduced. It is of interest in situations, where the information ...
2011-09-13Buch

A gradient formula for linear chance constraints under Gaussian distribution

Henrion, Réné; Möller, Andris

We provide an explicit gradient formula for linear chance constraints under a (possibly singular) multivariate Gaussian distribution. This formula allows one to reduce the calculus of gradients to the calculus of values ...
2011-08-02Buch

Stochastic programs without duality gaps

Pennanen, Teemu; Perkkiö, Ari-Pekka

This paper studies dynamic stochastic optimization problems parametrizedby a random variable. Such problems arise in many applications in operations research and mathematical ﬁnance. We give sufficient conditionsfor the ...