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