Quantitative stability analysis for minimax distributionally robust risk optimization
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Publication:2118071
DOI10.1007/s10107-018-1347-4zbMath1489.90089OpenAlexW2614002454WikidataQ128977459 ScholiaQ128977459MaRDI QIDQ2118071
Publication date: 22 March 2022
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/425755/1/Pichler_Xu_MPB.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Stochastic programming (90C15) Robustness in mathematical programming (90C17)
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