Polyhedral Coherent Risk Measures and Robust Optimization
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DOI: 10.1007/s10559-019-00210-y
Abstract: Properties of the apparatus of polyhedral coherent risk measures, its relationship with problems of robust and distributionally robust optimization, as well as its application under uncertainty are described. Problems of calculating robust structures of polyhedral… read more here.
Keywords: risk measures; polyhedral coherent; coherent risk; robust optimization ... See more keywords