Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints (Q5737736)
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scientific article; zbMATH DE number 6724137
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints |
scientific article; zbMATH DE number 6724137 |
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Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints (English)
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30 May 2017
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reward-risk ratio
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distributionally robust optimization
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entropic risk measure
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implicit Dinkelbach method
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