Risk Measures and Robust Optimization Problems (Q3424149)

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Risk Measures and Robust Optimization Problems
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    title
    Risk Measures and Robust Optimization Problems (English)
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    author
    Alexander Schied
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    publication date
    15 February 2007
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    Mathematics Subject Classification ID
    91B30
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    46N10
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    60G44
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    91B16
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    91B80
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    zbMATH DE Number
    5127478
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    zbMATH Keywords
    convex measure of risk
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    Knightian uncertainty
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    law-invariant risk measure
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    model uncertainty
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    optimal investment
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    risk measure
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    value at risk
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