Robust spectral risk optimization when information on risk spectrum is incomplete (Q5139835)
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scientific article; zbMATH DE number 7284422
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| default for all languages | No label defined |
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| English | Robust spectral risk optimization when information on risk spectrum is incomplete |
scientific article; zbMATH DE number 7284422 |
Statements
Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete (English)
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11 December 2020
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robust spectral risk measure
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robust spectral risk optimization
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step-like approximation
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alternating iterative algorithm
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statistical robustness
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0.8451454639434814
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0.7817559242248535
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0.7756698727607727
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0.7698487639427185
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0.7563209533691406
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