Stochastic quasigradient algorithm to minimize the function of integral quantile (Q2261707): Difference between revisions

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+Stochastic quasigradient algorithm to minimize the quantile function
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+Comparison of VaR and CVaR criteria
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+Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
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+Algorithm to solve the generalized Markowitz problem
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+Estimating conditional tail expectation with actuarial applications in view
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+Application of the bootstrap method for estimation of the quantile function
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+Q3944348
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+https://doi.org/10.1134/s000511791202004x
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+W2002223018
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