Robust optimization of mixed CVaR STARR ratio using copulas.

Anubha Goel Amita Sharma Aparna Mehra

Published in: J. Comput. Appl. Math. (2019)

Keyphrases

robust optimization
mathematical programming
chance constrained
portfolio selection
stochastic programming
portfolio optimization
risk measures
semidefinite programming
decision theory
lot sizing
chance constraints
machine learning