Stochastic linear programming with a distortion risk constraint
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Publication:480777
DOI10.1007/s00291-014-0372-9zbMath1305.90321arXiv1208.2113OpenAlexW2083998498MaRDI QIDQ480777
Pavel Bazovkin, Karl C. Mosler
Publication date: 11 December 2014
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1208.2113
robust optimizationcoherent risk measurecentral regionsmean-risk portfoliospectral risk measureweighted-mean trimmed regions
Related Items (8)
Exact computation of the halfspace depth ⋮ Choosing among notions of multivariate depth statistics ⋮ Stochastic linear programming with a distortion risk constraint ⋮ A general solution for robust linear programs with distortion risk constraints ⋮ On general notions of depth for regression ⋮ Fast Computation of Tukey Trimmed Regions and Median in Dimension p > 2 ⋮ StochaTR ⋮ Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures
Uses Software
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