Robust and reliable portfolio optimization formulation of a chance constrained problem (Q2360112): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 18:26, 2 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust and reliable portfolio optimization formulation of a chance constrained problem |
scientific article |
Statements
Robust and reliable portfolio optimization formulation of a chance constrained problem (English)
0 references
26 June 2017
0 references
risk management
0 references
investment analysis
0 references
robust optimization
0 references
conditional value at risk (CVaR)
0 references
extreme value distribution
0 references
