Data-driven risk-averse stochastic optimization with Wasserstein metric.

Chaoyue Zhao Yongpei Guan

Published in: Oper. Res. Lett. (2018)

Keyphrases

stochastic optimization
risk averse
data driven
stochastic programming
multistage
risk neutral
risk aversion
decision makers
utility function
robust optimization
portfolio management
expected utility
genetic algorithm
portfolio selection
dynamic programming
evolutionary algorithm
feature space