Showing math.OCShow all
2 papers · 1 filter
math.OC2026
Distributionally robust shortfall risk portfolio model with moment ambiguity sets
Yi Yang, Liu Yang, Suhan Zhong
This paper employs shortfall risk to measure portfolio risk. Assume stock returns follow polynomial relations with their influence factors. We propose a moment-based distributional…
math.OC2024
Robust approximation of chance constrained optimization with polynomial perturbation
Bo Rao, Liu Yang, Suhan Zhong +1
This paper proposes a robust approximation method for solving chance constrained optimization (CCO) of polynomials. Assume the CCO is defined with an individual chance constraint t…