Coherent risk measures and linear programming
Year of publication: |
2013
|
---|---|
Authors: | Benati, Stefano |
Published in: |
Soft computing for risk evaluation and management : applications in technology, environment and finance. - Heidelberg [u.a.] : Physica-Verl., ISBN 3-662-00348-1. - 2013, p. 410-431
|
Subject: | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming |
-
Tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof S., (2014)
-
Optimal deterministic investment strategies for insurers
Bäuerle, Nicole, (2013)
-
Computationally tractable counterparts of distributionally robust constraints on risk measures
Postek, Krzysztof Stanisław, (2015)
- More ...
-
Using medians in portfolio optimization
Benati, Stefano, (2015)
-
A p-median problem with distance selection
Benati, Stefano, (2012)
-
Probabilistic spatial power indexes
Benati, Stefano, (2013)
- More ...