Acta mathematica Universitatis Comenianae, Tome 84 (2015) no. 2, pp. 205-217
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Jitka Dupačová; Václav Kozmík; Jitka Dupačová; Václav Kozmík. Stress testing for risk-averse stochastic programs. Acta mathematica Universitatis Comenianae, Tome 84 (2015) no. 2, pp. 205-217. http://geodesic.mathdoc.fr/item/AMUC_2015_84_2_a2/
@article{AMUC_2015_84_2_a2,
author = {Jitka Dupa\v{c}ov\'a and V\'aclav Kozm{\'\i}k and Jitka Dupa\v{c}ov\'a and V\'aclav Kozm{\'\i}k},
title = { Stress testing for risk-averse stochastic programs},
journal = {Acta mathematica Universitatis Comenianae},
pages = {205--217},
year = {2015},
volume = {84},
number = {2},
url = {http://geodesic.mathdoc.fr/item/AMUC_2015_84_2_a2/}
}
TY - JOUR
AU - Jitka Dupačová
AU - Václav Kozmík
AU - Jitka Dupačová
AU - Václav Kozmík
TI - Stress testing for risk-averse stochastic programs
JO - Acta mathematica Universitatis Comenianae
PY - 2015
SP - 205
EP - 217
VL - 84
IS - 2
UR - http://geodesic.mathdoc.fr/item/AMUC_2015_84_2_a2/
ID - AMUC_2015_84_2_a2
ER -
%0 Journal Article
%A Jitka Dupačová
%A Václav Kozmík
%A Jitka Dupačová
%A Václav Kozmík
%T Stress testing for risk-averse stochastic programs
%J Acta mathematica Universitatis Comenianae
%D 2015
%P 205-217
%V 84
%N 2
%U http://geodesic.mathdoc.fr/item/AMUC_2015_84_2_a2/
%F AMUC_2015_84_2_a2
Possible use of contamination technique in stress testing of risk measures and risk-averse stochastic programs was initiated in [9] and detailed for Value at Risk (VaR) and Conditional Value at Risk (CVaR). In this paper we discuss several extensions of the approach, namely to stress testing for multistage risk-averse stochastic programs with CVaR related objectives, and for spectral and polyhedral risk measures.
