Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach (Q902084)
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scientific article; zbMATH DE number 6527104
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| English | Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach |
scientific article; zbMATH DE number 6527104 |
Statements
Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach (English)
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7 January 2016
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coherent risk measure minimization
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robust optimization
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nonconvexity
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portfolio optimization
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binary classification
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0.92335415
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0.9066359
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0.90044224
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0.89947426
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0.89876014
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0.89861166
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0.89617395
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0.89575136
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