Distributionally robust optimization under distorted expectations
Jun Cai, Jonathan Yu-Meng Li, Tiantian Mao
| Year of publication: |
2025
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|---|---|
| Authors: | Cai, Jun ; Li, Jonathan Yu-Meng ; Mao, Tiantian |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 73.2025, 2, p. 969-985
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| Subject: | distributionally robust optimization | Optimization | distortion risk measure | convex envelope | convex risk measure | Theorie | Theory | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Messung | Measurement | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Entscheidung unter Risiko | Decision under risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2020.0685 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015445457