Shortfall risk models when information on loss function is incomplete
Erick Delage, Shaoyan Guo, Huifu Xu
| Year of publication: |
2022
|
|---|---|
| Authors: | Delage, Erick ; Guo, Shaoyan ; Xu, Huifu |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 70.2022, 6, p. 3511-3518
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| Subject: | linear programming | Optimization | preference elicitation | preference robust optimization | tractability | utility-based shortfall risk measure | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Präferenztheorie | Theory of preferences | Risikomanagement | Risk management |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2021.2212 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014307925