RSS 1.0Volume 2011
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2011-11-28BuchOn the Geometry of Acceptability Functionals 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 ...
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2011-11-28BuchMultistage Optimization 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 ...
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2011-09-13BuchA gradient formula for linear chance constraints under Gaussian distribution 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 ...
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2011-08-02BuchStochastic programs without duality gaps 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 ...