Minimizing risk exposure when the choice of a risk measure is ambiguous
Erick Delage, Jonathan Yu-Meng Li
| Year of publication: |
January 2018
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|---|---|
| Authors: | Delage, Erick ; Li, Jonathan Yu-Meng |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 64.2018, 1, p. 327-344
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| Subject: | risk measure | robust optimization | conditional value at risk | preference ambiguity | Risikomaß | Risk measure | Theorie | Theory | Messung | Measurement | Risiko | Risk | Risikopräferenz | Risk attitude | Portfolio-Management | Portfolio selection | Entscheidung unter Risiko | Decision under risk | Entscheidung unter Unsicherheit | Decision under uncertainty |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2016.2593 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011819577