Risk management in portfolio applications of non-convex stochastic programming (Q300194): Difference between revisions

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+https://doi.org/10.1016/j.amc.2015.02.031
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+W2043740247
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+Credit risk optimization with conditional Value-at-Risk criterion
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+CVaR minimization by the SRA algorithm
@@ Property / cites work: CVaR minimization by the SRA algorithm / rank @@
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Stochastic methods based on Newton method to the stochastic variational inequality problem with constraint conditions
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+Extreme Value Theory as a Risk Management Tool
@@ Property / cites work: Extreme Value Theory as a Risk Management Tool / rank @@
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+Handling CVaR objectives and constraints in two-stage stochastic models
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+Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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+Numerical optimization. Theoretical and practical aspects. Transl. from the French
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+Q2724706
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+SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS
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+Publication:300194