• search hit 1 of 11
Back to Result List

Polyhedral risk measures in stochastic programming

Please always quote using this URN:urn:nbn:de:0296-matheon-1097
  • We consider stochastic programs with risk measures in the objective and study stability properties as well as decomposition structures. Thereby we place emphasis on dynamic models, i.e., multistage stochastic programs with multiperiod risk measures. In this context, we define the class of polyhedral risk measures such that stochastic programs with risk measures taken from this class have favorable properties. Polyhedral risk measures are defined as optimal values of certain linear stochastic programs where the arguments of the risk measure appear on the right-hand side of the dynamic constraints. Dual representations for polyhedral risk measures are derived and used to deduce criteria for convexity and coherence. As examples of polyhedral risk measures we propose multiperiod extensions of the Conditional-Value-at-Risk.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Andreas Eichhorn, Werner Römisch
URN:urn:nbn:de:0296-matheon-1097
Referee:Fredi Tröltzsch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2004/01/04
Release Date:2004/03/29
Institute:Humboldt-Universität zu Berlin
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
Preprint Number:109
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.