Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio (Q2263343): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10559-014-9663-z / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1973885809 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5543208 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Optimization Problems with Incomplete Information on Distribution Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: The minimax approach to stochastic programming and an illustrative application / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5310532 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weighted V\@R and its properties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic finance. An introduction in discrete time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: The class of polyhedral coherent risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Polyhedral risk measures in electricity portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Polyhedral Risk Measures in Stochastic Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability of multistage stochastic programs incorporating polyhedral risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4552656 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Constructing Uncertainty Sets for Robust Linear Optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Polyhedral coherent risk measures and investment portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable ETL Optimal Portfolios and Extreme Risk Management / rank
 
Normal rank

Latest revision as of 20:00, 9 July 2024

scientific article
Language Label Description Also known as
English
Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
scientific article

    Statements

    Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio (English)
    0 references
    0 references
    18 March 2015
    0 references
    polyhedral coherent risk measure
    0 references
    conditional VaR
    0 references
    spectral risk measure
    0 references
    portfolio optimization
    0 references
    reward-risk ratio
    0 references
    efficiency measure
    0 references

    Identifiers