2 papers
q-fin.RM2026
Quantifying the degree of risk aversion of spectral risk measures
E. Ruben van Beesten
I propose a functional on the space of spectral risk measures that quantifies their ``degree of risk aversion''. This quantification formalizes the idea that some risk measures are…
math.OC2025
Assessing solution quality in risk-averse stochastic programs
E. Ruben van Beesten, Nick W. Koning, David P. Morton
In optimization problems, the quality of a candidate solution can be characterized by the optimality gap. For most stochastic optimization problems, this gap must be statistically…