Search Results - subject:"Worst-case conditional value at risk"

Worst-case Conditional Value at Risk for asset liability management : a framework for general loss functions

Ghahtarani, Alireza; Saif, Ahmed; Ghasemi, Alireza - In: European journal of operational research : EJOR 318 (2024) 2, pp. 500-519

Persistent link: https://www.econbiz.de/10015047959

Worst-case analysis of Omega-VaR ratio optimization model

Sehgal, Ruchika; Sharma, Amita; Mansini, Renata - In: Omega : the international journal of management science 114 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10013441559

A Distributionally Robust Joint Chance Constrained Optimization Model for the Dynamic Network Design Problem under Demand Uncertainty

Sun, Hua; Gao, Ziyou; Szeto, W.; Long, Jiancheng; Zhao, … - In: Networks and Spatial Economics 14 (2014) 3, pp. 409-433

This paper develops a distributionally robust joint chance constrained optimization model for a dynamic network design problem (NDP) under demand uncertainty. The major contribution of this paper is to propose an approach to approximate a joint chance-constrained Cell Transmission Model (CTM)...

Persistent link: https://www.econbiz.de/10011154862

A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty

Sun, Hua; Gao, Ziyou; Szeto, W. Y.; Long, Jiancheng; … - In: Networks and spatial economics : a journal of … 14 (2014) 3/4, pp. 409-433

Persistent link: https://www.econbiz.de/10011308772