D Kim, H Ryu, J Lee, KK Kim - European Journal of Operational Research, 2022 - Elsevier
… In order to reflect the risk-averse behavior of an agent, in this paper we use a quantile-based
measure as follows:(1) min { s t } , { x t } { ∑ t = 1 T e − r t [ E [ C t ( x t , s t ) ] + γ VaR α ( C t ( x …