Polyhedral coherent risk measures in the case of imprecise scenario estimates (Q1795509): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s10559-018-0043-y / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2804728312 / rank | |||
Normal rank | |||
Revision as of 23:43, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Polyhedral coherent risk measures in the case of imprecise scenario estimates |
scientific article |
Statements
Polyhedral coherent risk measures in the case of imprecise scenario estimates (English)
0 references
16 October 2018
0 references
polyhedral coherent risk measure
0 references
conditional value-at-risk
0 references
spectral coherent risk measure
0 references
imprecise estimate
0 references
linear programming
0 references
portfolio optimization
0 references
reward-to-risk ratio
0 references
