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11 - Computer Science and Informatics

Imperial College London

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Article title

Distributionally robust joint chance constraints with second-order moment information

Type

D - Journal article

DOI

10.1007/s10107-011-0494-7

Title of journal

Mathematical Programming

Article number

Volume number

137

Issue number

1-2

First page of article

167

ISSN of journal

0025-5610

Year of publication

2013

URL

Number of additional authors

Additional information

<12>

Chance constraints are probabilistic constraints in decision making. This is the first paper that relaxes the assumption of exact knowledge of probability distributions for (joint) chance constrained optimization. The paper invokes approximations using Worst-Case Conditional Value-at-Risk. It is a generalisation of the model discussed in http://www.sciencedirect.com/science/article/pii/S0377221710006259 by the same authors. Axioma has implemented the latter as software for portfolio management with derivative insurance guarantees (http://www.updatefrom.com/axioma/2011_q2/research_focus.asp).

PhD Student: S. Zymler was offered a job at MAN Group (major hedge fund) based on strength and topicality (concerning risk) of this paper.

Mathematical Programming is one of two top optimization journals.

Interdisciplinary

Cross-referral requested

Research group

D - Quantitative Analysis and Decision Science

Citation count

Proposed double-weighted

Double-weighted statement

Reserve for a double-weighted output

Non-English

English abstract