Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach

Computational Optimization and Applications

Volumn 62, Issue 3, 2015, Pages 613-639

  Bertsimas, Dimitris ^a   Takeda, Akiko ^b  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

Binary classification; Coherent risk measure minimization; Nonconvexity; Portfolio optimization; Robust optimization

Indexed keywords

ARTIFICIAL INTELLIGENCE; FINANCIAL DATA PROCESSING; HEALTH HAZARDS; INTEGER PROGRAMMING; LEARNING SYSTEMS; OPTIMIZATION;

BINARY CLASSIFICATION; COHERENT RISK MEASURES; NONCONVEXITY; PORTFOLIO OPTIMIZATION; ROBUST OPTIMIZATION;

RISK ASSESSMENT;

EID: 84948379509     PISSN: 09266003     EISSN: 15732894     Source Type: Journal    
DOI: 10.1007/s10589-015-9755-3     Document Type: Article

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