Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
Recently, coherent risk measure minimization was formulated as robust optimization and the correspondence between coherent risk measures and uncertainty sets of robust optimization was investigated. We study minimizing coherent risk measures under a norm equality constraint with the use of robust op...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer US
2016
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| Online Access: | http://hdl.handle.net/1721.1/103345 https://orcid.org/0000-0002-1985-1003 |