Distributionally robust chance constrained games under Wasserstein ball-Reference-Cited by-同舟云学术

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Distributionally robust chance constrained games under Wasserstein ball

Published:2023-05 Issue:3 Volume:51 Page:315-321
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Xia Tian^ORCID,Liu Jia^ORCID,Lisser Abdel^ORCID

Funder

National Key Research and Development Program of China

National Natural Science Foundation of China

Ministry of Science and Technology of the People's Republic of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference22 articles.

1. Robust Wasserstein profile inference and applications to machine learning;Blanchet;J. Appl. Probab.,2019

2. Data-driven chance constrained programs over Wasserstein balls;Chen;Oper. Res.,2022

3. Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors;Dobrev;J. Risk Financ. Manag.,2017

4. Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing;Fabozzi,2005

5. Distributionally robust stochastic optimization with Wasserstein distance;Gao;Math. Oper. Res.,2022

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