Work

Quantitative Stability Analysis for Distributionally Robust Optimization with Moment Constraints

Year: 2016

Type: article

Source: SIAM Journal on Optimization

DOI: 10.1137/15m1038529

Authors: Jie Zhang, Huifu Xu, Liwei Zhang

Institutions: University of Southampton, Dalian University of Technology

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, China Postdoctoral Science Foundation, Engineering and Physical Sciences Research Council

Awards: G1749110083, G5339140240, G820676108, Distributionally Robust Optimisation With Matrix Moment Constraints: A Semi-Infinite and Semi-Definite Programming Approach, G8616016700, G8977529786

OpenAlex ID: W2510698054

FWCI: 5.119

Cites: 24

Cited by: 50

Related to: 10