Efficient optimization of the reward-risk ratio with polyhedral risk measures

Wlodzimierz Ogryczak, Michal Przyluski, Tomasz Sliwinski. Efficient optimization of the reward-risk ratio with polyhedral risk measures. Math. Meth. of OR, 86(3):625-653, 2017. [doi]

Authors

Wlodzimierz Ogryczak

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Michal Przyluski

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Tomasz Sliwinski

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