Expected shortfall: heuristics and certificates (Q1754277)
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scientific article; zbMATH DE number 6876669
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| English | Expected shortfall: heuristics and certificates |
scientific article; zbMATH DE number 6876669 |
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Expected shortfall: heuristics and certificates (English)
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30 May 2018
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stochastic programming
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convex programming
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scenario approach
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expected shortfall
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CVaR
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0.8125510811805725
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0.8038609027862549
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0.7842339277267456
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0.783379852771759
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