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Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints (2017)

First Author: Liu Y

Attributed to: Distributionally Robust Optimisation With Matrix Moment Constraints: A Semi-Infinite and Semi-Definite Programming Approach funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1137/16m106114x

Publication URI: http://dx.doi.org/10.1137/16m106114x

Type: Journal Article/Review

Parent Publication: SIAM Journal on Optimization

Issue: 2