Conditional value-at-risk: optimization approach (Q2752044)
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scientific article; zbMATH DE number 1665352
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| English | Conditional value-at-risk: optimization approach |
scientific article; zbMATH DE number 1665352 |
Statements
7 August 2002
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conditional value-at-risk
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risk management
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portfolio optimization
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efficient frontier
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stochastic programming
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linear programming options
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Conditional value-at-risk: optimization approach (English)
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0.8673368692398071
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0.8670102953910828
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0.8546038866043091
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0.8488547801971436
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