Polyhedral coherent risk measures in the case of imprecise scenario estimates (Q1795509): Difference between revisions
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| Property / cites work: Polyhedral coherent risk measures and investment portfolio optimization / rank | |||
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| Property / cites work: Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio / rank | |||
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| Property / cites work: Expected utility theory, optimal portfolios, and polyhedral coherent risk measures / rank | |||
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| Property / cites work: Coherent Measures of Risk / rank | |||
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| Property / cites work: Q4552656 / rank | |||
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| Property / cites work: Risk measures in stochastic programming and robust optimization problems / rank | |||
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Revision as of 21:46, 16 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Polyhedral coherent risk measures in the case of imprecise scenario estimates |
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Polyhedral coherent risk measures in the case of imprecise scenario estimates (English)
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16 October 2018
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polyhedral coherent risk measure
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conditional value-at-risk
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spectral coherent risk measure
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imprecise estimate
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linear programming
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portfolio optimization
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reward-to-risk ratio
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