Optimization of conditional value-at-risk
R. Tyrrell Rockafellar, Stanislav Uryasev
| Year of publication: |
2004
|
|---|---|
| Authors: | Rockafellar, R. Tyrrell ; Uryasev, Stanislav |
| Published in: |
Innovations in risk management : seminal papers from the Journal of Risk. - London : Risk Books, ISBN 1-904339-28-X. - 2004, p. 179-204
|
| Subject: | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Language: | English |
| Notes: | Literaturangaben |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002600304