We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...
An effective algorithm for solving large saddle-point linear systems, presented by Krukier et al., is applied to the constrained optimization problems. This method is a modification of skew-Hermitian ...
"DynamicEconomic convinced me of the usefulness of the Lagrange method... The book is very dear and easy to follow; applications are interesting and dearly treated." Contributions to econometrics and ...
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