Header

UZH-Logo

Maintenance Infos

Multiperiod stochastic optimization problems with time-consistent risk constraints


Densing, Martin; Mayer, Janos (2012). Multiperiod stochastic optimization problems with time-consistent risk constraints. In: Klatte, Diethard; Lüthi, Hans-Jakob; Schmedders, Karl. Operations Research Proceedings 20122. Berlin Heidelberg: Springer, 521-526.

Abstract

Coherent risk measures play an important role in building and solving optimization models for decision problems under uncertainty. We consider an extension to multiple time periods, where a risk-adjusted value for a stochastic process is recursively defined over the time steps, which ensures time consistency. A prominent example of a single-period coherent risk measure that is widely used in applications is Conditional-Value-at-Risk (CVaR). We show that a recursive calculation of CVaR leads to stochastic linear programming formulations. For the special case of the risk-adjusted value of a random variable at the time horizon, a lower bound is given. The possible integration of the risk-adjusted value into multi-stage mean-risk optimization problems is outlined.

Abstract

Coherent risk measures play an important role in building and solving optimization models for decision problems under uncertainty. We consider an extension to multiple time periods, where a risk-adjusted value for a stochastic process is recursively defined over the time steps, which ensures time consistency. A prominent example of a single-period coherent risk measure that is widely used in applications is Conditional-Value-at-Risk (CVaR). We show that a recursive calculation of CVaR leads to stochastic linear programming formulations. For the special case of the risk-adjusted value of a random variable at the time horizon, a lower bound is given. The possible integration of the risk-adjusted value into multi-stage mean-risk optimization problems is outlined.

Statistics

Citations

Altmetrics

Downloads

1 download since deposited on 28 Jan 2013
0 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Book Section, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Business Administration
Dewey Decimal Classification:330 Economics
Language:English
Date:2012
Deposited On:28 Jan 2013 13:38
Last Modified:05 Apr 2016 16:25
Publisher:Springer
Series Name:Operations Research Proceedings
Number of Pages:6
ISSN:0721-5924
ISBN:978-3-642-29209-5
Publisher DOI:https://doi.org/10.1007/978-3-642-29210-1_83
Other Identification Number:merlin-id:7715

Download

Preview Icon on Download
Content: Published Version
Filetype: PDF - Registered users only
Size: 197kB
View at publisher

TrendTerms

TrendTerms displays relevant terms of the abstract of this publication and related documents on a map. The terms and their relations were extracted from ZORA using word statistics. Their timelines are taken from ZORA as well. The bubble size of a term is proportional to the number of documents where the term occurs. Red, orange, yellow and green colors are used for terms that occur in the current document; red indicates high interlinkedness of a term with other terms, orange, yellow and green decreasing interlinkedness. Blue is used for terms that have a relation with the terms in this document, but occur in other documents.
You can navigate and zoom the map. Mouse-hovering a term displays its timeline, clicking it yields the associated documents.

Author Collaborations