Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization (PJO)
Volume 4
Number 3
pp. 433-446
Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
Darinka Dentcheva and Andrzej Ruszczy´ski
Key words
Mathematices Subject Classification
stochastic dominance, risk measures, dual utility, rank dependent utility, Kusuoka representation, duality, stochastic program
90C15, 90C34, 90C48; 46N10, 60E15, 91B06
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