Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints (Q5737736): Difference between revisions

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Latest revision as of 21:15, 13 July 2024

scientific article; zbMATH DE number 6724137
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English
Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
scientific article; zbMATH DE number 6724137

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    Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints (English)
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    30 May 2017
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    reward-risk ratio
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    distributionally robust optimization
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    entropic risk measure
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    implicit Dinkelbach method
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