We develop a modular and tractable framework for solving an adaptive distributionally robust linear optimization problem, where we minimize the worst-case expected cost over an ambiguity set of ...

Estimation errors or uncertainities in expected return and risk measures create difficulties for portfolio optimization. The literature deals with the uncertainty using stochastic, fuzzy or ...

Analytics software leader FICO today announced the release of a true global mathematical optimization solver as part of FICO® Xpress 9.2 Optimization.