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MP 2006
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Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse
15 years 2 months ago
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edoc.hu-berlin.de
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 -...
Rüdiger Schultz, Stephan Tiedemann
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