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Browsing by Author "Vinel, Aleksandr"
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A Computational Study of Modern Approaches to Risk-Averse Stochastic Optimization Using Financial Portfolio Allocation Model
Choi, Suklim (2016-07-27)
We study some novel approaches to risk-averse stochastic optimization. Our
goal is to numerically evaluate whether these methods result in an improved decision
making under conditions of uncertainty. The methodology used ...