Mathematical Programming Computation · 2015 · 13 citations · 21 references
BusinessDecision SciencesMathematicsProbability TheoryStochastic ModelingStochastic ProcessesLinear ProgrammingSimulation MethodsStochastic ControlStochastic OptimizationStochastic ProgrammingStochastic Systems ModelingBenders DecompositionDantzig-wolfe DecompositionRisk DecompositionStochastic Linear ProgrammingStochastic Programming Decomposition
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Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text
Business, Finance, Risk Management +14
Optimization of conditional value-at-risk
R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations
Business, Finance, Risk Management +17