相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
Peyman Mohajerin Esfahani et al.
MATHEMATICAL PROGRAMMING (2018)
Robust sample average approximation
Dimitris Bertsimas et al.
MATHEMATICAL PROGRAMMING (2018)
Data-driven risk-averse stochastic optimization with Wasserstein metric
Chaoyue Zhao et al.
OPERATIONS RESEARCH LETTERS (2018)
DISTRIBUTIONALLY ROBUST STOCHASTIC PROGRAMMING
Alexander Shapiro
SIAM JOURNAL ON OPTIMIZATION (2017)
Data-driven chance constrained stochastic program
Ruiwei Jiang et al.
MATHEMATICAL PROGRAMMING (2016)
Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures
Krzysztof Postek et al.
SIAM REVIEW (2016)
Likelihood robust optimization for data-driven problems
Zizhuo Wang et al.
COMPUTATIONAL MANAGEMENT SCIENCE (2016)
Distributionally robust multi-item newsvendor problems with multimodal demand distributions
Grani A. Hanasusanto et al.
MATHEMATICAL PROGRAMMING (2015)
Distributionally Robust Convex Optimization
Wolfram Wiesemann et al.
OPERATIONS RESEARCH (2014)
Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
David Wozabal
OPERATIONS RESEARCH (2014)
Mean-CVaR portfolio selection: A nonparametric estimation framework
Haixiang Yao et al.
COMPUTERS & OPERATIONS RESEARCH (2013)
Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
Aharon Ben-Tal et al.
MANAGEMENT SCIENCE (2013)
Distributionally robust joint chance constraints with second-order moment information
Steve Zymler et al.
MATHEMATICAL PROGRAMMING (2013)
Robust portfolios: contributions from operations research and finance
Frank J. Fabozzi et al.
ANNALS OF OPERATIONS RESEARCH (2010)
Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
Erick Delage et al.
OPERATIONS RESEARCH (2010)
Distributionally Robust Optimization and Its Tractable Approximations
Joel Goh et al.
OPERATIONS RESEARCH (2010)
Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
Shushang Zhu et al.
OPERATIONS RESEARCH (2009)
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
Victor DeMiguel et al.
REVIEW OF FINANCIAL STUDIES (2009)
Ambiguous risk measures and optimal robust portfolios
Giuseppe C. Calafiore
SIAM JOURNAL ON OPTIMIZATION (2007)
Robust mean-covariance solutions for stochastic optimization
Ioana Popescu
OPERATIONS RESEARCH (2007)
Ambiguous chance constrained problems and robust optimization
E Erdogan et al.
MATHEMATICAL PROGRAMMING (2006)
The optimizer's curse: Skepticism and postdecision surprise in decision analysis
JE Smith et al.
MANAGEMENT SCIENCE (2006)
Convex approximations of chance constrained programs
Arkadi Nemirovski et al.
SIAM JOURNAL ON OPTIMIZATION (2006)
Optimal inequalities in probability theory: A convex optimization approach
D Bertsimas et al.
SIAM JOURNAL ON OPTIMIZATION (2005)
Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory
PD Grünwald et al.
ANNALS OF STATISTICS (2004)
Conditional value-at-risk for general loss distributions
RT Rockafellar et al.
JOURNAL OF BANKING & FINANCE (2002)
High order data sharpening for density estimation
P Hall et al.
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2002)
On consistency of stochastic dominance and mean-semideviation models
W Ogryczak et al.
MATHEMATICAL PROGRAMMING (2001)