Polyhedral coherent risk measures and investment portfolio optimization (Q946748)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Polyhedral coherent risk measures and investment portfolio optimization |
scientific article |
Statements
Polyhedral coherent risk measures and investment portfolio optimization (English)
0 references
24 September 2008
0 references
polyhedral coherent risk measure
0 references
conditional value-at-risk
0 references
optimal portfolio problem
0 references
linear programming technique
0 references
catastrophic flood
0 references
