Robust and reliable portfolio optimization formulation of a chance constrained problem (Q2360112): Difference between revisions
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Latest revision as of 01:21, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust and reliable portfolio optimization formulation of a chance constrained problem |
scientific article |
Statements
Robust and reliable portfolio optimization formulation of a chance constrained problem (English)
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26 June 2017
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risk management
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investment analysis
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robust optimization
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conditional value at risk (CVaR)
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extreme value distribution
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