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Adaptive Distributionally Robust Optimization

Published:2019-02 Issue:2 Volume:65 Page:604-618
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Bertsimas Dimitris¹^ORCID,Sim Melvyn²^ORCID,Zhang Meilin³

Affiliation:

1. Massachusetts Institute of Technology, Cambridge, Massachusetts 02139

2. Department of Analytics and Operations Research, NUS Business School, National University of Singapore, Singapore 119077

3. SUSS Business School, Singapore University of Social Science, Singapore 599494

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

Reference59 articles.

1. Second-order cone programming

2. Dynamic Asset Allocation in a Mean-Variance Framework

3. Dynamic Mean-Variance Asset Allocation

4. Robust Convex Optimization

5. Robust solutions of uncertain linear programs

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