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  • Search: subject:"worst optimized certainty equivalent risk"
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Algorithm 1 Algorithmus 1 Mathematical programming 1 Mathematische Optimierung 1 Portfolio selection 1 Portfolio-Management 1 Risikomanagement 1 Risk management 1 Robust statistics 1 Robustes Verfahren 1 Theorie 1 Theory 1 convergence analysis 1 distributionally robust optimization 1 exchange method 1 semi-definite semi-infinite programming 1 worst optimized certainty equivalent risk 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Chen, Liang 1 Sun, Hailin 1 Wu, Soon-Yi 1 Zhang, Dali 1
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International transactions in operational research : a journal of the International Federation of Operational Research Societies 1
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ECONIS (ZBW) 1
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A modified exchange algorithm for distributional robust optimization and applications in risk management
Sun, Hailin; Zhang, Dali; Wu, Soon-Yi; Chen, Liang - In: International transactions in operational research : a … 29 (2022) 1, pp. 130-157
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