Robust CARA optimization

DOI10.1287/OPRE.2021.0654MaRDI QIDQ6956931zbMATH OpenFDO

Authors Li Chen, Melvyn Sim

Publication date 17 July 2025

Published in Operations Research (Search for Journal in Brave)

zbMATH Keywords

robust optimizationconstant absolute risk aversionexponential cone

Mathematics Subject Classification ID

Utility theory (91B16) Robustness in mathematical programming (90C17)

Cited in

(2)

• Distributionally robust optimization
• Target-based distributionally robust minimum spanning tree problem

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