A modified exchange algorithm for distributional robust optimization and applications in risk management
Hailin Sun, Dali Zhang, Soon-Yi Wu and Liang Chen
| Year of publication: |
2022
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|---|---|
| Authors: | Sun, Hailin ; Zhang, Dali ; Wu, Soon-Yi ; Chen, Liang |
| Published in: |
International transactions in operational research : a journal of the International Federation of Operational Research Societies. - Oxford : Wiley-Blackwell, ISSN 1475-3995, ZDB-ID 2019815-2. - Vol. 29.2022, 1, p. 130-157
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| Subject: | convergence analysis | distributionally robust optimization | exchange method | semi-definite semi-infinite programming | worst optimized certainty equivalent risk | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Risikomanagement | Risk management | Robustes Verfahren | Robust statistics | Algorithmus | Algorithm | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/itor.12913 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012630733