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  • Search: subject:"distributionally robust optimization using Wasserstein distances"
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DRO 1 Kullback-Liebler divergence 1 Mathematical programming 1 Mathematische Optimierung 1 Probability theory 1 Risiko 1 Risikomanagement 1 Risikomodell 1 Risk 1 Risk management 1 Risk model 1 Robust statistics 1 Robustes Verfahren 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Wahrscheinlichkeitsrechnung 1 diffusion approximations 1 distributionally robust optimization using Wasserstein distances 1 model risk 1 ruin probabilities 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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Blanchet, Jose 1 Murthy, Karthyek 1
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Mathematics of operations research 1
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Quantifying distributional model risk via optimal transport
Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600
Persistent link: https://www.econbiz.de/10012028635
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