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On distributionally robust multiperiod stochastic optimization · Study

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ArticleOn distributionally robust multiperiod stochastic optimization

Bita Analui2014

OA

Articlegreen2014

On distributionally robust multiperiod stochastic optimization

Bita Analui · Georg Ch. Pflug

30 citations·0/0 files stored·Computational Management Science

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Risk and Portfolio Optimization Advanced Control Systems Optimization Optimal Power Flow Distribution

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References

2011Introduction to Stochastic Programming 1928Zur Theorie der Gesellschaftsspiele 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems 2002Ambiguity, Risk, and Asset Returns in Continuous Time 1997Introduction to Stochastic Programming 1953Minimax Theorems 2010Distributionally Robust Optimization and Its Tractable Approximations 2003Stochastic Programming Models

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2017Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance

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Year2014

Typearticle

Published2014-07-01

VenueComputational Management Science

ISSN-L1619-697X

Languageen

Citations30

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10287-014-0213-y

openalex_workW1982910724

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