Wei Wang, Huifu Xu. Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete. SIAM Journal on Optimization, 30(4):3198-3229, 2020. [doi]
@article{WangX20a-3,
title = {Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete},
author = {Wei Wang and Huifu Xu},
year = {2020},
doi = {10.1137/19M1284270},
url = {https://doi.org/10.1137/19M1284270},
researchr = {https://researchr.org/publication/WangX20a-3},
cites = {0},
citedby = {0},
journal = {SIAM Journal on Optimization},
volume = {30},
number = {4},
pages = {3198-3229},
}