Data-Driven Optimization of Reward-Risk Ratio Measures

DOI10.1287/ijoc.2020.1002OpenAlexW3123788783MaRDI QIDQ5085482

Miguel A. Lejeune, Ran Ji

Publication date: 27 June 2022

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2020.1002

zbMATH Keywords

Wasserstein metricfractional programmingdistributionally robust optimizationreward-risk ratiodata-driven optimization

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (6)

Frameworks and results in distributionally robust optimization ⋮ Partition-based distributionally robust optimization via optimal transport with order cone constraints ⋮ Portfolio Optimization within a Wasserstein Ball ⋮ A distributionally robust chance-constrained model for humanitarian relief network design ⋮ Distributionally robust chance constrained SVM model with \(\ell_2\)-Wasserstein distance ⋮ A review on ambiguity in stochastic portfolio optimization

Uses Software

• ROME

Cites Work

• Unnamed Item
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