Generalized robust optimization using the notion of set-valued probability

DOI10.1007/S10957-025-02790-6MaRDI QIDQ6933689zbMATH OpenFDO

Authors Davide La Torre, F. Mendivil, Matteo Rocca

Publication date 4 September 2025

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10957-025-02790-6

zbMATH Keywords

robustnessportfolio optimizationrisk measureset-valued probability measure

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Stochastic programming (90C15) Set-valued and variational analysis (49J53) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Robustness in mathematical programming (90C17)

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Cited in

(1)

• Cone ordering in distributionally robust optimization with set-valued probabilities

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