Distributionally Robust Return-Risk Optimization Models and Their Applications.

Li Yang Yanxi Li Zhengyong Zhou Kejing Chen

Published in: J. Appl. Math. (2014)

Keyphrases

robust optimization
neural network
prior knowledge
optimization algorithm
complex systems
response surface
optimization problems
model selection
risk assessment
parameter estimation
computational models
risk management
constrained optimization
risk factors
high risk
risk measures