Distributionally robust optimization based on kernel density estimation and mean-entropic value-at-risk
Wei Liu, Li Yang, Bo Yu
| Year of publication: |
2023
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|---|---|
| Authors: | Liu, Wei ; Li, Yang ; Yu, Bo |
| Published in: |
INFORMS journal on optimization. - Catonsville, Md. : INFORMS, ISSN 2575-1492, ZDB-ID 2957493-6. - Vol. 5.2023, 1, p. 68-91
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| Subject: | distributionally robust optimization | entropic value-at-risk | kernel density estimation | Robustes Verfahren | Robust statistics | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Core |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoo.2022.0076 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014292039