A Conic Programming Approach to Generalized Tchebycheff Inequalities
From MaRDI portal
Publication:5704226
DOI10.1287/moor.1040.0124zbMath1082.90089OpenAlexW2154558981MaRDI QIDQ5704226
Luis F. Zuluaga, Javier F. Peña
Publication date: 11 November 2005
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.1040.0124
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (10)
Distributionally robust mixed integer linear programs: persistency models with applications ⋮ A semidefinite optimization approach to the steady-state analysis of queueing systems ⋮ Distributionally robust optimization with polynomial densities: theory, models and algorithms ⋮ Computing best bounds for nonlinear risk measures with partial information ⋮ Exploiting partial correlations in distributionally robust optimization ⋮ Persistence in discrete optimization under data uncertainty ⋮ Static-arbitrage lower bounds on the prices of basket options via linear programming ⋮ PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS ⋮ Third-order extensions of Lo's semiparametric bound for European call options ⋮ Tight bounds for a class of data-driven distributionally robust risk measures
Uses Software
This page was built for publication: A Conic Programming Approach to Generalized Tchebycheff Inequalities