A modified exchange algorithm for distributional robust optimization and applications in risk management-Reference-Cited by-同舟云学术

A modified exchange algorithm for distributional robust optimization and applications in risk management

Published:2020-12-10 Issue:1 Volume:29 Page:130-157
ISSN:0969-6016
Container-title:International Transactions in Operational Research
language:en
Short-container-title:Intl. Trans. in Op. Res.

Author:

Sun Hailin¹,Zhang Dali²^ORCID,Wu Soon‐Yi³,Chen Liang⁴

Affiliation:

1. School of Mathematical Sciences Jiangsu Key Laboratory for NSLSCS Nanjing Normal University Nanjing 210023 China

2. Antai College of Economic and Management (SUGLI) Shanghai Jiao Tong University Shanghai 200030 China

3. Department of Mathematics National Cheng Kung University Tainan 70101 ROC

4. College of Mathematics and Econometrics Hunan University Changsha 410082 China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Management of Technology and Innovation,Management Science and Operations Research,Strategy and Management,Computer Science Applications,Business and International Management

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/itor.12913

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5. AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT

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