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

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-Li-wei Zhang
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+Li-wei Zhang
@@ Property / author: Li-wei Zhang / rank @@
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+MaRDI publication profile
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+W2107932715
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@@ Property / cites work @@
+Credit risk optimization with conditional Value-at-Risk criterion
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+Coherent Measures of Risk
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+On solving the dual for portfolio selection by optimizing conditional value at risk
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+Lectures on Stochastic Programming
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