Classes
Publications
- On variance reduction of mean-CVaR Monte Carlo estimators2015 | Faculty of Mathematics and Physics
- Multistage risk-averse asset allocation with transaction costs2012 | Faculty of Mathematics and Physics
- Scenario reduction in Monte-Carlo simulation via stochastic optimizationPublication without faculty affiliation
- SDDP for multistage stochastic programs: preprocessing via scenario reduction2017 | Faculty of Mathematics and Physics
- Evaluating policies in risk-averse multi-stage stochastic programming2015 | Faculty of Mathematics and Physics
- Structure of risk-averse multistage stochastic programs2015 | Faculty of Mathematics and Physics
- STRESS TESTING FOR RISK-AVERSE STOCHASTIC PROGRAMS2015 | Faculty of Mathematics and Physics
- Stability of Mean-Risk Models with Log-Normal Distribution of Returns2011 | Faculty of Mathematics and Physics
- Convergence of approximate solutions in mean-risk models2010 | Faculty of Mathematics and Physics
- Multi-Stage Stochastic Programming with CVaR: Modeling, Algorithms and RobustnessPublication without faculty affiliation
Loading network view...