Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach (Q902084): Difference between revisions

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-Dimitris J. Bertsimas
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Constructing Uncertainty Sets for Robust Linear Optimization
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+Q5483032
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+Sparse and stable Markowitz portfolios
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+Support-vector networks
@@ Property / cites work: Support-vector networks / rank @@
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+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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+On generalization performance and non-convex optimization of extended \(\nu \)-support vector machine
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+On the role of norm constraints in portfolio selection
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+Interaction between financial risk measures and machine learning methods
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+Constructing Risk Measures from Uncertainty Sets
@@ Property / cites work: Constructing Risk Measures from Uncertainty Sets / rank @@
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+Optimization of Convex Risk Functions
@@ Property / cites work: Optimization of Convex Risk Functions / rank @@
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+A Unified Classification Model Based on Robust Optimization
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