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Robust portfolio selection with uncertain exit time using worst-case VaR strategy
Huang, Dashan; Fabozzi, Frank J.; Fukushima, Masao - In: Operations research letters 35 (2007) 5, pp. 627-635
Persistent link: https://www.econbiz.de/10007761550
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Distributionally robust chance constraint with unimodality-skewness information and conic reformulation
Shang, Chao; Wang, Chao; You, Keyou; Huang, Dexian - In: Operations research letters 50 (2022) 2, pp. 176-183
Persistent link: https://www.econbiz.de/10013192686
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Stochastic geometric optimization with joint probabilistic constraints
Liu, Jia; Lisser, Abdel; Chen, Zhiping - In: Operations research letters 44 (2016) 5, pp. 687-691
Persistent link: https://www.econbiz.de/10011596645
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Quantitative stability of multistage stochastic programs via calm modifications
Jiang, Jie; Chen, Zhiping - In: Operations research letters 46 (2018) 5, pp. 543-547
Persistent link: https://www.econbiz.de/10011936703