Geodesic
Relations between risk-averse models in extended two-stage stochastic optimization
Serdica Mathematical Journal, Tome 49 (2023) no. 1–3, pp. 49-76

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We consider an extended two-stage risk-averse stochastic optimization problems in several formulations. Risk-aversion is reflected by risk constraints in form of stochastic-order relations, which are imposed in a time-consistent manner. The problem is analyzed under convexity assumptions. The main goal of this study is to establishing relations between the extended two-stage problem with stochastic-order constraints on the recourse function on the one hand and the two-stage problems with alternative models of risk such as utility functions, distortions, or coherent measures of risk on the other hand.
Keywords: stochastic dominance, coherent measures of risk, dual utility, distortions, stochastic programming, 90C15, 90C25, 91B05, 91B16 
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     title = {Relations between risk-averse models in extended two-stage stochastic optimization},
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Dentcheva, Darinka. Relations between risk-averse models in extended two-stage stochastic optimization. Serdica Mathematical Journal, Tome 49 (2023) no. 1–3, pp. 49-76. http://geodesic.mathdoc.fr/item/SMJ2_2023_49_1_3_a3/