Data-driven optimization of reward-risk ratio measures
Ran Ji, Miguel A. Lejeune
| Year of publication: |
2021
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|---|---|
| Authors: | Ji, Ran ; Lejeune, Miguel A. |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 33.2021, 3, p. 1120-1137
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| Subject: | data-driven optimization | distributionally robust optimization | reward-risk ratio | Wasserstein metric | fractional programming | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2020.1002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012631658