Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints.
Yongchao LiuRudabeh MeskarianHuifu XuPublished in: SIAM J. Optim. (2017)
Keyphrases
- robust optimization
- chance constraints
- chance constrained
- constrained optimization
- portfolio optimization
- risk measures
- stochastic programming
- risk management
- computationally efficient
- global optimization
- data sets
- geometric constraints
- optimization problems
- reinforcement learning
- constraint programming
- optimization process
- optimization method
- linear constraints
- optimization algorithm
- machine learning
- neural network