Krzysztof Postek, Aharon Ben-Tal, Dick den Hertog, Bertrand Melenberg, Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information, Operations Research, Vol. 66, No ...

However, enforcing multivariate stochastic dominance constraints can often be overly conservative in practice. As an alternative, we focus on the widely applied risk measure conditional value-at-risk ...