Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization (Q3523879)
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scientific article; zbMATH DE number 5322343
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| English | Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization |
scientific article; zbMATH DE number 5322343 |
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Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization (English)
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5 September 2008
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value-at-risk
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robust optimization
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coherent risk measures
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0.8616545796394348
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0.8310703635215759
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0.8276954889297485
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0.7990552186965942
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0.7947088479995728
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