Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
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DOI: 10.1007/s10479-018-3032-7
Abstract: In this paper, we present a multistage time consistent Expected Conditional Risk Measure for minimizing a linear combination of the expected mean and the expected variance, so-called Expected Mean-Variance. The model is formulated as a… read more here.
Keywords: variance; time consistent; consistent expected; multistage ... See more keywords