Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization (Q3426227): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Coherent Measures of Risk / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A Method for Minimization of Quasidifferentiable Functions / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Convex risk measures for portfolio optimization and concepts of flexibility / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering) / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Finding the nearest point in A polytope / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Hyperbolic distributions in finance / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: ASYNPLEX, an asynchronous parallel revised simplex algorithm / rank | |||
Normal rank | |||
Latest revision as of 15:39, 25 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization |
scientific article |
Statements
Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization (English)
0 references
8 March 2007
0 references
non-smooth optimization
0 references
conditional value-at-risk
0 references
expected shortfall
0 references
portfolio optimization
0 references
numerical optimization
0 references
