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A data-driven robust EVaR-PC with application to portfolio management
We investigate the robust chance constrained optimization problem (RCCOP), which is a combination of the distributionally robust optimization (DRO) and the chance constraint (CC). The RCCOP plays an important role in modeling uncertain parameters within a decision-making framework. The chance constr...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10270575/ https://www.ncbi.nlm.nih.gov/pubmed/37319273 http://dx.doi.org/10.1371/journal.pone.0287093 |