Distribution-robust loss-averse optimization

DOI10.1007/S11590-016-1002-ZMaRDI QIDQ2361137zbMATH OpenOpenAlexFDO

Authors Kyungchul Park, Kyungsik Lee

Publication date 29 June 2017

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-016-1002-z

zbMATH Keywords

robust optimizationstochastic programmingloss-aversedistribution-robust

Mathematics Subject Classification ID

Stochastic programming (90C15) Minimax problems in mathematical programming (90C47)

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Cites work

• scientific article; zbMATH DE number 3130649 (Why is no real title available?)
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Downside Loss Aversion and Portfolio Management
• Models for minimax stochastic linear optimization problems with risk aversion
• Optimal structural policies for ambiguity and risk averse inventory and pricing models
• Prospect Theory: An Analysis of Decision under Risk
• Regret in the Newsvendor Model with Partial Information
• Robust Mean-Covariance Solutions for Stochastic Optimization
• Robust optimization-methodology and applications
• Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
• Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
• Tight bounds for some risk measures, with applications to robust portfolio selection
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Cited in

(2)

• Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
• Distributionally Robust Convex Optimization

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