Portfolio optimization with entropic value-at-risk
Amir Ahmadi-Javid, Malihe Fallah-Tafti
| Year of publication: |
2019
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|---|---|
| Authors: | Ahmadi-Javid, Amir ; Fallah-Tafti, Malihe |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 279.2019, 1 (16.11.), p. 225-241
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| Subject: | Risk analysis | Portfolio optimization | Coherent risk measures | Stochastic programming | Large-scale convex optimization | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Risiko | Risk | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.02.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012102740