A MEAN–VARIANCE BOUND FOR A THREE-PIECE LINEAR FUNCTION

DOI10.1017/S0269964807000356zbMath1129.60018MaRDI QIDQ5433642

Zhou Linyi, Karthik Natarajan

Publication date: 9 January 2008

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characteristic functions; other transforms (60E10)

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MAD Dispersion Measure Makes Extremal Queue Analysis Simple ⋮ Tight tail probability bounds for distribution-free decision making ⋮ Robust enhanced indexation optimization with sparse industry Layout constraint ⋮ Robust optimization for the loss-averse newsvendor problem ⋮ Time (in)consistency of multistage distributionally robust inventory models with moment constraints ⋮ Third-order extensions of Lo's semiparametric bound for European call options

Cites Work

• On multiple simple recourse models
• On sharpness of Tchebycheff-type inequalities
• Robust Mean-Covariance Solutions for Stochastic Optimization

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