Optimization of conditional value-at-risk
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: | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Theorie | Theory | Portfolio-Management | Portfolio selection |
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