Data-Driven Optimization of Reward-Risk Ratio Measures
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Publication:5085482
DOI10.1287/ijoc.2020.1002OpenAlexW3123788783MaRDI QIDQ5085482
Publication date: 27 June 2022
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/ijoc.2020.1002
Wasserstein metricfractional programmingdistributionally robust optimizationreward-risk ratiodata-driven optimization
Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Uses Software
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