Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

Abstract

Acknowledgement 1 The authors thank Jacques Carette for comments and useful suggestions that have resulted in a valuable improvement of the present manuscript. Financial Support from Eleusi Research Center is gratefully acknowledged.

DOI: 10.1007/s10479-008-0504-1

Cite this paper

@article{Borgonovo2010MomentCF, title={Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures}, author={Emanuele Borgonovo and L. Peccati}, journal={Annals OR}, year={2010}, volume={176}, pages={235-258} }