A Soft Robust Model for Optimization Under Ambiguity (Q3098315)

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A Soft Robust Model for Optimization Under Ambiguity
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    title
    A Soft Robust Model for Optimization Under Ambiguity (English)
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    author
    Aharon Ben-Tal
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    David B. Brown
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    Dimitris J. Bertsimas
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    publication date
    17 November 2011
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    zbMATH Keywords
    robust optimization
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    ambiguity
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    convex risk measures
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    divergence measures
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    optimized certainty equivalent
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    portfolio optimization
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    Identifiers

    zbMATH DE Number
    5973553
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    OpenAlex ID
    W2159289433
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