α-Conservative approximation for probabilistically constrained convex programs
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Volume (Year): 46 (2010)
Issue (Month): 1 (May)
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- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- M. Gilli & E. Kellezi & H. Hysi, 2006.
"A Data-Driven Optimization Heuristic for Downside Risk Minimization,"
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- 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.
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