Model of Integrated Chance Constraints and Application on Risk Measure

摘要：

Compared with chance constraints model, integrated chance constraints model has better property about feasible solution set and measures risk more accurately in economy control. In this paper, we introduce four definitions of ICC models, and discuss the properties including convexity, continuum and differentiability. Then we present a hybrid intelligent algorithm, which is test efficiently by numerical experiments. At last, as a new methord to measure risk, conditional valu-at risk is studied as the application of ICC. Mean-CVaR problem can be computed efficiently using our model and algorithm, which dramatically improves the portfolios of investment.

关键词： chance constraints programming intelligent algorithm CVaR

作者: Xiaoxia Rong Yiming Yan

作者单位: School of Mathematics, Shandong University, Jinan 250100, P.R. China School of Management, Tianjin U School of Management, Tianjin University, Tianjin 300072, P.R. China

会议类型: 国际会议

会议名称: The 8th International Symposium on Operations Research and Its Applications(第八届运筹及其应用国际专题讨论会 ISORA09)

会议地点: 张家界

会议语种:英文

页码: 148-156

在线出版日期: 2009-09-20（万方平台首次上网日期，不代表论文的发表时间）