Market price-based convex risk measures : a distribution-free optimization approach

Jonathan Y. Li; Roy H. Kwon

Year of publication:	2012
Authors:	Li, Jonathan Y. ; Kwon, Roy H.
Published in:	Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 40.2012, 2, p. 128-133
Subject:	Theorie \| Theory \| Messung \| Measurement \| Risiko \| Risk \| Risikomaß \| Risk measure \| Mathematische Optimierung \| Mathematical programming \| Portfolio-Management \| Portfolio selection \| Entscheidung unter Risiko \| Decision under risk

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