Distributionally robust shortfall risk optimization model and its approximation (2018)
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/10.1007/s10107-018-1307-z
Publication URI: http://dx.doi.org/10.1007/s10107-018-1307-z
Type: Journal Article/Review
Parent Publication: Mathematical Programming
Issue: 1-2