Robust Value-at-Risk Optimization with Interval Random Uncertainty Set.
Wei ChenShaohua TanPublished in: ICTAI (1) (2010)
Keyphrases
- interval analysis
- optimization problems
- constrained optimization
- global optimization
- optimization algorithm
- robust optimization
- objective function
- risk management
- simultaneous optimization
- risk averse
- portfolio optimization
- optimization strategies
- discrete optimization
- multiple objectives
- information retrieval
- partial occlusion
- utility function
- search algorithm
- genetic algorithm