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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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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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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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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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Portfolio optimization using robust mean absolute deviation model : Wasserstein metric approach
Hosseini-Nodeh, Zohreh; Shiraz, Rashed Khanjani; … - In: Finance research letters 54 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014472705
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Finite-sample guarantees for Wasserstein distributionally robust optimization : breaking the curse of dimensionality
Gao, Rui - In: Operations research 71 (2023) 6, pp. 2291-2306
Persistent link: https://www.econbiz.de/10014445041
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Wasserstein distance‐based distributionally robust parallel‐machine scheduling
Yin, Yunqiang; Luo, Zunhao; Wang, Dujuan; Cheng, T. C. E. - In: Omega : the international journal of management science 120 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014445934
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A study of distributionally robust mixed-integer programming with Wasserstein metric : on the value of incomplete data
Ketkov, Sergey S. - In: European journal of operational research : EJOR 313 (2024) 2, pp. 602-615
Persistent link: https://www.econbiz.de/10014456604
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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