Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications for finance
Csaba I. Fábián; Anna Veszprémi
| Year of publication: |
2008
|
|---|---|
| Authors: | Fábián, Csaba I. ; Veszprémi, Anna |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 10.2007/08, 3, p. 111-131
|
| Subject: | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003698911