Robustness in stochastic programs with risk constraints

DOI10.1007/s10479-010-0824-9zbMath1255.90088OpenAlexW2070274887MaRDI QIDQ1931644

Miloš Kopa, Jitka Dupačová

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-010-0824-9

zbMATH Keywords

robustness analysissecond order stochastic dominancecontamination techniqueexpectation type constraintsrisk-shaping with CVaRrobust SSD portfolio efficiency test

Mathematics Subject Classification ID

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