Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective.

European Journal of Operational Research(2016)

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摘要
•We discuss alternatives to incorporate risk into a multistage stochastic program.•We propose a new definition of (time)-consistency.•We illustrate the pitfalls of some measures of risk used in practice.•We study a new class of multi-period risk measures.•We apply the proposed multi-period risk measure to a pension fund problem.
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关键词
Stochastic programming,Risk aversion,Multistage,Consistency,Pension funds
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