{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,8,7]],"date-time":"2025-08-07T21:00:45Z","timestamp":1754600445672},"reference-count":18,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2014,11,14]],"date-time":"2014-11-14T00:00:00Z","timestamp":1415923200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Comput Manag Sci"],"published-print":{"date-parts":[[2015,4]]},"DOI":"10.1007\/s10287-014-0225-7","type":"journal-article","created":{"date-parts":[[2014,11,14]],"date-time":"2014-11-14T21:26:20Z","timestamp":1416000380000},"page":"221-242","update-policy":"http:\/\/dx.doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["On variance reduction of mean-CVaR Monte Carlo estimators"],"prefix":"10.1007","volume":"12","author":[{"given":"V\u00e1clav","family":"Kozm\u00edk","sequence":"first","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2014,11,14]]},"reference":[{"key":"225_CR1","doi-asserted-by":"crossref","first-page":"203","DOI":"10.1111\/1467-9965.00068","volume":"9","author":"P Artzner","year":"1999","unstructured":"Artzner P, Delbaen F, Eber J-M, Heath D (1999) Coherent measures of risk. Math Financ 9:203\u2013228","journal-title":"Math Financ"},{"key":"225_CR2","doi-asserted-by":"crossref","first-page":"898","DOI":"10.1287\/opre.1110.0926","volume":"59","author":"G Bayraksan","year":"2011","unstructured":"Bayraksan G, Morton DP (2011) A sequential sampling procedure for stochastic programming. Oper Res 59:898\u2013913","journal-title":"Oper Res"},{"key":"225_CR3","doi-asserted-by":"crossref","unstructured":"Blum M, Floyd RW, Pratt V, Rivest RL, Tarjan RE (1972) Linear time bounds for median computations. In: Proceedings of the fourth annual ACM symposium on theory of computing. pp 119\u2013124","DOI":"10.1145\/800152.804904"},{"key":"225_CR4","doi-asserted-by":"crossref","first-page":"181","DOI":"10.2143\/AST.20.2.2005441","volume":"20","author":"D Denneberg","year":"1990","unstructured":"Denneberg D (1990) Premium calculation: why standard deviation should be replaced by absolute deviation. ASTIN Bull Int Actuar Assoc 20:181\u2013190","journal-title":"ASTIN Bull Int Actuar Assoc"},{"key":"225_CR5","doi-asserted-by":"crossref","first-page":"185","DOI":"10.1080\/00401706.1995.10484303","volume":"37","author":"TC Hesterberg","year":"1995","unstructured":"Hesterberg TC (1995) Weighted average importance sampling and defensive mixture distributions. Technometrics 37:185\u2013194","journal-title":"Technometrics"},{"key":"225_CR6","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1145\/362946.362996","volume":"12","author":"R Knopp","year":"1966","unstructured":"Knopp R (1966) Remark on algorithm 334 [G5]: normal random deviates. Commun ACM 12:281","journal-title":"Commun ACM"},{"key":"225_CR7","doi-asserted-by":"crossref","unstructured":"Kozm\u00edk V, Morton D (2014) Evaluating policies in risk-averse multi-stage stochastic programming. Math Program. doi: 10.1007\/s10107-014-0787-8","DOI":"10.1007\/s10107-014-0787-8"},{"key":"225_CR8","unstructured":"Kozm\u00edk V (2012) Multistage risk-averse asset allocation with transaction costs. In: Proceedings of 30th international conference on mathematical methods in economics. pp 455\u2013460"},{"key":"225_CR9","first-page":"49","volume":"16","author":"P Krokhmal","year":"2011","unstructured":"Krokhmal P, Zabarankin M, Uryasev S (2011) Modeling and optimization of risk. Surv Oper Res Manag Sci 16:49\u201366","journal-title":"Surv Oper Res Manag Sci"},{"key":"225_CR10","first-page":"77","volume":"7","author":"HM Markowitz","year":"1952","unstructured":"Markowitz HM (1952) Portfolio selection. J Financ 7:77\u201391","journal-title":"J Financ"},{"key":"225_CR11","volume-title":"Portfolio selection: efficient diversification of investments","author":"HM Markowitz","year":"1959","unstructured":"Markowitz HM (1959) Portfolio selection: efficient diversification of investments. Wiley, New York"},{"key":"225_CR12","doi-asserted-by":"crossref","first-page":"359","DOI":"10.1007\/BF01582895","volume":"52","author":"MVF Pereira","year":"1991","unstructured":"Pereira MVF, Pinto LMVG (1991) Multi-stage stochastic optimization applied to energy planning. Math Program 52:359\u2013375","journal-title":"Math Program"},{"key":"225_CR13","doi-asserted-by":"crossref","first-page":"957","DOI":"10.1287\/opre.2013.1175","volume":"61","author":"AB Philpott","year":"2013","unstructured":"Philpott AB, de Matos VL, Finardi EC (2013) On solving multistage stochastic programs with coherent risk measures. Oper Res 61:957\u2013970","journal-title":"Oper Res"},{"key":"225_CR14","doi-asserted-by":"crossref","first-page":"1443","DOI":"10.1016\/S0378-4266(02)00271-6","volume":"26","author":"RT Rockafellar","year":"2002","unstructured":"Rockafellar RT, Uryasev S (2002) Conditional value-at-risk for general loss distributions. J Bank Financ 26:1443\u20131471","journal-title":"J Bank Financ"},{"key":"225_CR15","doi-asserted-by":"crossref","unstructured":"Rudloff B, Street A, Valladao D (2014) Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences. Eur J Oper Res 234(3):743\u2013750","DOI":"10.1016\/j.ejor.2013.11.037"},{"key":"225_CR16","doi-asserted-by":"crossref","first-page":"235","DOI":"10.1007\/s10107-010-0393-3","volume":"125","author":"A Ruszczynski","year":"2010","unstructured":"Ruszczynski A (2010) Risk-averse dynamic programming for Markov decision processes. Math Program 125:235\u2013261","journal-title":"Math Program"},{"key":"225_CR17","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1016\/j.orl.2009.02.005","volume":"37","author":"A Shapiro","year":"2009","unstructured":"Shapiro A (2009) On a time consistency concept in risk averse multistage stochastic programming. Oper Res Lett 37:143\u2013147","journal-title":"Oper Res Lett"},{"key":"225_CR18","doi-asserted-by":"crossref","first-page":"63","DOI":"10.1016\/j.ejor.2010.08.007","volume":"209","author":"A Shapiro","year":"2011","unstructured":"Shapiro A (2011) Analysis of stochastic dual dynamic programming method. Eur J Oper Res 209:63\u201372","journal-title":"Eur J Oper Res"}],"container-title":["Computational Management Science"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-014-0225-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10287-014-0225-7\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-014-0225-7","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,29]],"date-time":"2019-05-29T12:12:51Z","timestamp":1559131971000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10287-014-0225-7"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,11,14]]},"references-count":18,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2015,4]]}},"alternative-id":["225"],"URL":"https:\/\/doi.org\/10.1007\/s10287-014-0225-7","relation":{},"ISSN":["1619-697X","1619-6988"],"issn-type":[{"value":"1619-697X","type":"print"},{"value":"1619-6988","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,11,14]]}}}