Chance-Constrained Programming

Chance, A. (1959). Chance-Constrained Programming. 73-79.

Type

Journal article

Intellectual base

Primary research

Year

1959

Link

https://www.jstor.org/stable/2627476?Search=yes&resultItemClick=true&searchText=

Cited by

1 citation across 1 artifact.

Domain-specific

• Chance-constrained portfolio selection
  • The probability guarantee is only as reliable as the return distribution, horizon and dependence model, and loss aversion, VaR-like constraints, transaction costs and estimation uncertainty alter the feasible set.

Verification

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