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Contribution Details
| Type | Book Chapter |
| Scope | Discipline-based scholarship |
| Title | Multiperiod stochastic optimization problems with time-consistent risk constraints |
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| Refereed | Yes |
| Status | Published in final form |
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| Booktitle | Operations Research Proceedings 20122 |
| Series Name | Operations Research Proceedings |
| ISBN | 978-3-642-29209-5 |
| ISSN | 0721-5924 |
| Place of Publication | Berlin Heidelberg |
| Publisher | Springer |
| Page Range | 521 - 526 |
| Date | 2012 |
| Abstract Text | 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. |
| Digital Object Identifier | 10.1007/978-3-642-29210-1_83 |
| Other Identification Number | merlin-id:7715 |
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