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math.OC2024
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…
q-fin.RM2024
Quantifying the degree of risk aversion of spectral risk measures
E. Ruben van Beesten
This paper introduces a quantitative notion of the degree of risk aversion of spectral risk measures. We define a family of degree functionals characterized by three axioms governi…