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New Robust Reward-Risk Ratio Models with CVaR and Standard Deviation
In this paper, we present two robust reward-risk ratio optimization models. Two new models contain the worst case of not only conditional value-at-risk (CVaR), but also standard deviation (SD). Using properties of reward measure, CVaR measure, and standard deviation measure, new models can be proved...
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| Main Authors: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Hindawi Limited
2022-01-01
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| Colecção: | Journal of Mathematics |
| Acesso em linha: | http://dx.doi.org/10.1155/2022/8304411 |
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