CVaR proxies for minimizing scenario-based value-at-risk (Q2438424): Difference between revisions

@@ Property / cites work @@
+A First Course in Order Statistics
@@ Property / cites work: A First Course in Order Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating conditional tail expectation with actuarial applications in view
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+A heuristic for moment-matching scenario generation
+Normal rank
@@ Property / cites work @@
+Q4782132
@@ Property / cites work: Q4782132 / rank @@
+Normal rank
@@ Property / cites work @@
+A Sample Approximation Approach for Optimization with Probabilistic Constraints
+Normal rank
@@ Property / cites work @@
+Bias, exploitation and proxies in scenario-based risk minimization
+Normal rank
@@ Property / cites work @@
+Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
+Normal rank
@@ Property / cites work @@
+Convex Approximations of Chance Constrained Programs
+Normal rank
@@ Property / cites work @@
+Sample average approximation method for chance constrained programming: Theory and applications
+Normal rank