CVaR norm and applications in optimization.
Konstantin PavlikovStan UryasevPublished in: Optim. Lett. (2014)
Keyphrases
- robust optimization
- risk measures
- optimization problems
- portfolio optimization
- global optimization
- portfolio selection
- database
- artificial intelligence
- optimization method
- linear program
- optimization process
- constrained optimization
- information systems
- stochastic programming
- neural network
- norm minimization
- data sets