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~subject:"Distributionally robust optimization"
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Distributionally robust optimization
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Lejeune, Miguel A.
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Operations research letters
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A distributionally robust area under curve maximization model
Ma, Wenbo
;
Lejeune, Miguel A.
- In:
Operations research letters
48
(
2020
)
4
,
pp. 460-466
Persistent link: https://www.econbiz.de/10012294791
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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