英文标题：
《Multi-objective risk-averse two-stage stochastic programming problems》
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作者：
\\c{C}a\\u{g}{\\i}n Ararat, \\\"Ozlem \\c{C}avu\\c{s}, Ali \\.Irfan
Mahmuto\\u{g}ullar{\\i}
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最新提交年份：
2017
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英文摘要：
We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with set-valued constraints and propose an extended version of Benson\'s algorithm to solve this problem. Using Lagrangian duality, we develop scenario-wise decomposition methods to solve the two scalarization problems appearing in Benson\'s algorithm. Then, we propose a procedure to recover the primal solutions of these scalarization problems from the solutions of their Lagrangian dual problems. Finally, we test our algorithms on a multi-asset portfolio optimization problem under transaction costs.
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中文摘要：
我们考虑一个具有多元凸风险测度的多目标风险规避两阶段随机规划问题。我们提出了一种具有集值约束的凸向量优化公式，并提出了Benson算法的扩展版本来解决这个问题。利用拉格朗日对偶，我们发展了场景分解方法来解决Benson算法中出现的两个尺度化问题。然后，我们提出了一种从这些标量化问题的拉格朗日对偶问题的解中恢复其原始解的方法。最后，我们在一个交易成本下的多资产组合优化问题上测试了我们的算法。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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