Solving nonsmooth and nonconvex compound stochastic programs with applications to risk measure minimization
Junyi Liu, Ying Cui, Jong-Shi Pang
| Year of publication: |
2022
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|---|---|
| Authors: | Liu, Junyi ; Cui, Ying ; Pang, Jong-Shi |
| Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 47.2022, 4, p. 3051-3083
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| Subject: | nonconvex optimization | risk measure optimization | stochastic programming | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2021.1247 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014311398