A Soft Robust Model for Optimization Under Ambiguity
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Publication:3098315
DOI10.1287/opre.1100.0821zbMath1228.90060OpenAlexW2159289433MaRDI QIDQ3098315
Aharon Ben-Tal, David B. Brown, Dimitris J. Bertsimas
Publication date: 17 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.207.6582
portfolio optimizationambiguityrobust optimizationdivergence measuresconvex risk measuresoptimized certainty equivalent
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