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Stochastic Optimization for Spectral Risk Measures.

Ronak MehtaVincent RouletKrishna PillutlaLang LiuZaïd Harchaoui
Published in: CoRR (2022)
Keyphrases
  • stochastic optimization
  • risk measures
  • robust optimization
  • multistage
  • portfolio optimization
  • mathematical programming
  • portfolio selection
  • stochastic programming
  • risk averse
  • non stationary
  • kernel methods