Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach.
Shaoyan GuoHuifu XuPublished in: Math. Program. (2022)
Keyphrases
- risk aversion
- risk averse
- utility function
- risk neutral
- expected utility
- stochastic programming
- robust optimization
- exchange rate
- decision makers
- portfolio management
- risk management
- portfolio optimization
- optimization problems
- decision theory
- multiple objectives
- optimization methods
- decision problems
- linear program
- multistage