Robustness in stochastic programs with risk constraints

Annals of Operations Research

Volumn 200, Issue 1, 2012, Pages 55-74

  Dupačová, Jitka ^a   Kopa, Miloš ^a  

^a CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Contamination technique; Expectation type constraints; Risk shaping with CVaR; Robust SSD portfolio efficiency test; Robustness analysis; Second order stochastic dominance

Indexed keywords

EID: 84867396387     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-010-0824-9     Document Type: Article

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