Robustness in stochastic programs with risk constraints
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Publication:1931644
DOI10.1007/s10479-010-0824-9zbMath1255.90088MaRDI QIDQ1931644
Publication date: 15 January 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-010-0824-9
robustness analysis; second order stochastic dominance; contamination technique; expectation type constraints; risk-shaping with CVaR; robust SSD portfolio efficiency test
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