A reverse ES (CVaR) optimization formula
Yuanying Guan, Zhanyi Jiao, and Ruodu Wang
| Year of publication: |
2024
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|---|---|
| Authors: | Guan, Yuanying ; Jiao, Zhanyi ; Wang, Ruodu |
| Published in: |
North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science. - Chicago, Ill. : [Verlag nicht ermittelbar], ISSN 2325-0453, ZDB-ID 2097702-5. - Vol. 28.2024, 3, p. 611-625
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| Subject: | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/10920277.2023.2249524 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015189554