Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization (Q3426227): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1080/02331930600816353 / rank
 
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Latest revision as of 15:39, 25 June 2024

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Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
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    Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization (English)
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    8 March 2007
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    non-smooth optimization
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    conditional value-at-risk
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    expected shortfall
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    portfolio optimization
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    numerical optimization
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