Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo (Q2962566): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Credit risk optimization with conditional Value-at-Risk criterion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust solutions of linear programming problems contaminated with uncertain data / rank
 
Normal rank
Property / cites work
 
Property / cites work: From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Confidence intervals for quantiles when applying variance-reduction techniques / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the use of outer approximations as an external active set strategy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulating Sensitivities of Conditional Value at Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast gradient descent method for mean-CVaR optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: On safe tractable approximations of chance constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex Approximations of Chance Constrained Programs / rank
 
Normal rank
Property / cites work
 
Property / cites work: On solving the dual for portfolio selection by optimizing conditional value at risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sample average approximation method for chance constrained programming: Theory and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lectures on Stochastic Programming / rank
 
Normal rank

Latest revision as of 11:21, 13 July 2024

scientific article
Language Label Description Also known as
English
Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo
scientific article

    Statements

    Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo (English)
    0 references
    0 references
    0 references
    0 references
    17 February 2017
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    value-at-risk
    0 references
    conditional value-at-risk
    0 references
    Monte Carlo
    0 references
    CVaR-like approximation
    0 references
    0 references