Risk Measures in Optimization Problems via Empirical Estimates
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References listed on IDEAS
- Svetlozar T. Rachev & Werner Römisch, 2002. "Quantitative Stability in Stochastic Programming: The Method of Probability Metrics," Mathematics of Operations Research, INFORMS, vol. 27(4), pages 792-818, November.
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Cited by:
- Vlasta Kaňková, 2024. "Stochastic optimization problems with nonlinear dependence on a probability measure via the Wasserstein metric," Journal of Global Optimization, Springer, vol. 90(3), pages 593-617, November.
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More about this item
Keywords
Static stochastic optimization problems; linear and nonlinear dependence; risk measures; thin and heavy tails; Wasserstein metric; L1 norm; empirical distribution function;All these keywords.
JEL classification:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
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