Restricted risk measures and robust optimization.

Guido Lagos Daniel G. Espinoza Eduardo Moreno Juan Pablo Vielma

Published in: Eur. J. Oper. Res. (2015)

Keyphrases

risk measures
robust optimization
portfolio optimization
stochastic programming
mathematical programming
portfolio selection
risk averse
decision making
bayesian networks
lot sizing
semidefinite programming
genetic algorithm
artificial intelligence
multi agent systems
linear programming
decision theory