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Generalized quantiles as risk measures
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; … - In: Insurance / Mathematics & economics 54 (2014), pp. 41-48
Persistent link: https://www.econbiz.de/10010259683
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Risk measures with the CxLS property
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453
Persistent link: https://www.econbiz.de/10011471250
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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Optimizing decisions for a dual-channel retailer with service level requirements and demand uncertainties : a Wasserstein metric-based distributionally robust optimization approach
Sun, Yue; Qiu, Ruozhen; Sun, Minghe - In: Computers & operations research : and their … 138 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013040927
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Data-driven optimization of reward-risk ratio measures
Ji, Ran; Lejeune, Miguel A. - In: INFORMS journal on computing : JOC 33 (2021) 3, pp. 1120-1137
Persistent link: https://www.econbiz.de/10012631658
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Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
Luo, Fengqiao; Mehrotra, Sanjay - In: European journal of operational research : EJOR 278 (2019) 1, pp. 20-35
Persistent link: https://www.econbiz.de/10012102588
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A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming
Xu, Guanglin; Burer, Samuel - In: Computational Management Science : CMS 15 (2018) 1, pp. 111-134
Persistent link: https://www.econbiz.de/10011860879
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Primal-dual hybrid gradient method for distributionally robust optimization problems
Liu, Yongchao; Yuan, Xiaoming; Zeng, Shangzhi; Zhang, Jin - In: Operations research letters 45 (2017) 6, pp. 625-630
Persistent link: https://www.econbiz.de/10011783059
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Wasserstein distributionally robust optimization and variation regularization
Gao, Rui; Chen, Xi; Kleywegt, Anton J. - In: Operations research 72 (2024) 3, pp. 1177-1191
Persistent link: https://www.econbiz.de/10014557557
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Data-driven distributionally robust surgery planning in flexible operating rooms over a Wasserstein ambiguity
Shehadeh, Kamel S. - In: Computers & operations research : and their … 146 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013348243