Measuring risk for income streams

Computational Optimization and Applications

Volumn 32, Issue 1-2, 2005, Pages 161-178

  Pflug, Georg Ch ^a   Ruszczyński, Andrzej ^b  

^a UNIVERSITY OF VIENNA   (Austria)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Conditional value at risk; Dynamic risk measure; Multiperiod mean risk models; Multistage stochastic programming; Value of perfect information

Indexed keywords

LINEAR PROGRAMMING; MATHEMATICAL MODELS; OPTIMIZATION; PLANNING; WAGES;

CONDITIONAL VALUE AT RISK; DYNAMIC RISK MEASURE; MULTIPERIOD MEAN-RISK MODELS; MULTISTAGE STOCHASTIC PROGRAMMING; VALUE OF PERFECT INFORMATION;

RISK MANAGEMENT;

EID: 23944497172     PISSN: 09266003     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10589-005-2058-3     Document Type: Article

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