Robust optimization with moment-dispersion ambiguity
Li Chen, Chenyi Fu, Fan Si, Melvyn Sim, Peng Xiong
| Year of publication: |
2025
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|---|---|
| Authors: | Chen, Li ; Fu, Chenyi ; Si, Fan ; Sim, Melvyn ; Xiong, Peng |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 73.2025, 6, p. 3118-3138
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| Subject: | robust optimization | Optimization | ambiguity set | exponential conic optimization | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2023.0579 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015551446