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...

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Detalles Bibliográficos
Autores principales: He, Qingyun, Hong, Chuanyang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2023
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