Risk Measures in Optimization Problems via Empirical Estimates
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More about this item
KeywordsStatic stochastic optimization problems; linear and nonlinear dependence; risk measures; thin and heavy tails; Wasserstein metric; L1 norm; empirical distribution function;
All these keywords.
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
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