Robust scenario-based value-at-risk optimization.
Oleksandr RomankoHelmut MausserPublished in: Ann. Oper. Res. (2016)
Keyphrases
- robust optimization
- optimization algorithm
- risk management
- optimization problems
- global optimization
- risk measures
- genetic algorithm
- information retrieval
- least squares
- expert systems
- decision trees
- mathematical programming
- optimization process
- parameter tuning
- risk assessment
- robust estimation
- risk analysis
- data sets