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α-Conservative approximation for probabilistically constrained convex programs

Author

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  • Yuichi Takano

    ()

  • Jun-ya Gotoh

    ()

Abstract

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Suggested Citation

  • Yuichi Takano & Jun-ya Gotoh, 2010. "α-Conservative approximation for probabilistically constrained convex programs," Computational Optimization and Applications, Springer, vol. 46(1), pages 113-133, May.
    • Handle: RePEc:spr:coopap:v:46:y:2010:i:1:p:113-133
    DOI: 10.1007/s10589-008-9178-5
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    References listed on IDEAS

    as
    1. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    2. A. Charnes & W. W. Cooper & G. H. Symonds, 1958. "Cost Horizons and Certainty Equivalents: An Approach to Stochastic Programming of Heating Oil," Management Science, INFORMS, vol. 4(3), pages 235-263, April.
    3. Manfred Gilli & Evis Këllezi & Hilda Hysi, "undated". "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Swiss Finance Institute Research Paper Series 06-02, Swiss Finance Institute.
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