Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances.

Somayyeh Lotfi Stavros A. Zenios

Published in: Eur. J. Oper. Res. (2018)

Keyphrases

robust optimization
mathematical programming
risk measures
stochastic programming
portfolio optimization
joint optimization
portfolio selection
covariance matrix
global optimization
lot sizing
semidefinite programming
decision making
optimization problems
graphical models
optimization methods