Derivatives and subderivatives of buffered probability of exceedance
Year of publication: |
2019
|
---|---|
Authors: | Zhang, Tong ; Uryasev, Stan ; Guan, Yongpei |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 47.2019, 2, p. 130-132
|
Subject: | Buffered probability of exceedance | CVaR | Gradient | Quasigradient | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory |
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