Stress testing for risk-averse stochastic programs

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Jitka Dupačová Václav Kozmík

Abstract

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. 

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How to Cite
Dupačová, J., & Kozmík, V. (2015). Stress testing for risk-averse stochastic programs. Acta Mathematica Universitatis Comenianae, 84(2), 205-217. Retrieved from http://www.iam.fmph.uniba.sk/amuc/ojs/index.php/amuc/article/view/143/187
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