Random Games Under Normal Mean-Variance Mixture Distributed Independent Linear Joint Chance Constraints

Author:

Nguyen Hoang,Lisser Abdel,Singh Vikas Vikram

Publisher

Elsevier BV

Reference25 articles.

1. Normal variance-mean mixtures and z distributions;O References;International Statistical Review,1982

2. Jianqiang Cheng and Abdel Lisser. A second-order cone programming approach for linear programs with joint probabilistic constraints;Christian Bauer;Journal of Economics and Business,2000

3. The generalized hyperbolic model: Financial derivatives and risk measures;Antoine Augustin;Mathematical Finance -Bachelier Congress 2000: Selected Papers from the First World Congress of the Bachelier Finance Society,1897

4. Applications of a theorem concerning sets with convex sections;Fan Ky;Mathematische Annalen,1966

5. Convexity of chance constraints with independent random variables;R Henrion;Computational Optimization and Applications,2008

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