New safe approximation of ambiguous probabilistic constraints for financial optimization problem
From MaRDI portal
Publication:2296548
DOI10.1155/2019/6903679zbMath1453.91090OpenAlexW2943095735MaRDI QIDQ2296548
Ningning Du, Ying Liu, Yan-Kui Liu
Publication date: 18 February 2020
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2019/6903679
Uses Software
Cites Work
- Unnamed Item
- A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty
- Scenario approximation of robust and chance-constrained programs
- Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
- Robust optimization approximation for joint chance constrained optimization problem
- A new risk criterion in fuzzy environment and its application
- Robust portfolio selection based on a multi-stage scenario tree
- Selected topics in robust convex optimization
- Sample average approximation method for chance constrained programming: Theory and applications
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Distributionally robust chance constrained problem under interval distribution information
- Pricing vulnerable European options under Lévy process with stochastic volatility
- Robust-based interactive portfolio selection problems with an uncertainty set of returns
- The lambda selections of parametric interval-valued fuzzy variables and their numerical characteristics
- Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
- Distributionally robust joint chance constraints with second-order moment information
- Robust portfolio optimization with copulas
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- On distributionally robust chance-constrained linear programs
- Distributionally Robust Convex Optimization
- The problem of calculating the volume of a polyhedron is enumerably hard
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Distributionally Robust Optimization and Its Tractable Approximations
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- On Safe Tractable Approximations of Chance-Constrained Linear Matrix Inequalities
- Managing Underperformance Risk in Project Portfolio Selection
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- The Price of Robustness
- Ambiguous Joint Chance Constraints Under Mean and Dispersion Information
- Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information
- Convex Approximations of Chance Constrained Programs
- Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
- Distributionally robust chance constraints for non-linear uncertainties
This page was built for publication: New safe approximation of ambiguous probabilistic constraints for financial optimization problem
