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Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)

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  • Postek, K.S.

    (Tilburg University, School of Economics and Management)

  • den Hertog, D.

    (Tilburg University, School of Economics and Management)

  • Melenberg, B.

    (Tilburg University, School of Economics and Management)

Abstract

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  • Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Other publications TiSEM eeb9c898-6943-4199-b747-3, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:eeb9c898-6943-4199-b747-335d17aa89c8
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    References listed on IDEAS

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