Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
type: Item
instance of: scholarly article
title: Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
zbMATH Open document ID: 1357.90174
author: Akiko Takeda
author: Dimitris Bertsimas
published in: Computational Optimization and Applications
publication date: 2016-01-07T00:00:00Z
full work available at URL: http://hdl.handle.net/1721.1/103345
Mathematics Subject Classification ID: 90C47
Mathematics Subject Classification ID: 90C11
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6527104
zbMATH Keywords: coherent risk measure minimization
zbMATH Keywords: robust optimization
zbMATH Keywords: nonconvexity
zbMATH Keywords: portfolio optimization
zbMATH Keywords: binary classification
describes a project that uses: PRMLT
describes a project that uses: UCI-ml
MaRDI profile type: Publication
OpenAlex ID: W2090738555
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DOI: 10.1007/S10589-015-9755-3
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description: scientific article; zbMATH DE number 6527104