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Efficient optimization of the reward-risk ratio with polyhedral risk measures.
Wlodzimierz Ogryczak
Michal Przyluski
Tomasz Sliwinski
Published in:
Math. Methods Oper. Res. (2017)
Keyphrases
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risk measures
efficient optimization
optimization methods
risk averse
portfolio optimization
reinforcement learning
robust optimization
convex relaxation
convex optimization
long run
evolutionary algorithm
linear programming
short term
portfolio selection