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Distributionally robust chance constraints for non-linear uncertainties
16 references·3 citing·36 second hop
Distributionally robust chance constraints for non-linear uncertainties (2014)Distributionally robust chance constraint…Distributionally Robust Convex Optimization (2014)Distributionally Robust Conve…Distributionally robust joint chance constraints with second-order moment information (2011)Distributionally robust joint…Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Robust Optimization (2009)Robust OptimizationLectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…Lectures on Stochastic Programming (2009)Lectures on Stochastic Progra…Convex Approximations of Chance Constrained Programs (2006)Convex Approximations of Chan…The Price of Robustness (2004)The Price of RobustnessEmpirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Robust solutions of uncertain linear programs (1999)Robust solutions of uncertain…Robust Convex Optimization (1998)Robust Convex OptimizationStochastic Programming (1995)Stochastic ProgrammingModels of Stock Returns--A Comparison (1984)Models of Stock Returns--A Co…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Chance-Constrained Programming (1959)Chance-Constrained ProgrammingChance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness (2022)Chance-constrained optimizati…A survey of nonlinear robust optimization (2020)A survey of nonlinear robust …Data-Driven Chance Constrained Programs over Wasserstein Balls (2019)Data-Driven Chance Constraine…A Stochastic Approximation Method (1951)Coherent Measures of Risk (1999)Analysis of stochastic dual dynamic programming method (2010)Data-driven chance constrained stochastic program (2015)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Studies in Mathematical Theory of Inventory and Production (1959)Optimization of conditional value-at-risk (2000)Recent advances in robust optimization: An overview (2013)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Adjustable robust solutions of uncertain linear programs (2004)Stochastic Programming (2010)Introduction to Stochastic Programming (2011)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints (1963)Optimization under uncertainty: state-of-the-art and opportunities (2003)Theory and Applications of Robust Optimization (2010)Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2004The Price of Robustness4,620 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2009Robust Optimization3,008 cited
  • 1959Chance-Constrained Programming2,748 cited
  • 1998Robust Convex Optimization2,606 cited
  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 1999Robust solutions of uncertain linear programs1,832 cited
  • 2009Lectures on Stochastic Programming: Modeling and Theory1,623 cited
  • 1995Stochastic Programming1,539 cited
  • 2009Lectures on Stochastic Programming1,419 cited
  • 2006Convex Approximations of Chance Constrained Programs1,163 cited
  • 2014Distributionally Robust Convex Optimization952 cited
  • 2011Distributionally robust joint chance constraints with second-order moment information629 cited
  • 1984Models of Stock Returns--A Comparison606 cited

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Cited by

  • 2022Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness59 cited
  • 2020A survey of nonlinear robust optimization46 cited
  • 2019Data-Driven Chance Constrained Programs over Wasserstein Balls43 cited