The class of polyhedral coherent risk measures (Q2574231): Difference between revisions
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Latest revision as of 09:02, 19 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The class of polyhedral coherent risk measures |
scientific article |
Statements
The class of polyhedral coherent risk measures (English)
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18 November 2005
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coherent risk measure
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polyhedral coherent risk measure
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conditional value-at-risk (CVaR)
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stochastic domination of the second order
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optimal portfolio problem
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