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

K.S. Postek, Dick Den Hertog and Bertrand Melenberg ()
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K.S. Postek: Tilburg University, Center For Economic Research

No 2015-047, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: risk measure; robust counterpart; nonlinear inequality; robust optimization; support functions (search for similar items in EconPapers)
Date: 2015
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