Optimization with Multivariate Conditional Value-at-Risk Constraints (Q5166262)

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scientific article; zbMATH DE number 6308820
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Optimization with Multivariate Conditional Value-at-Risk Constraints
scientific article; zbMATH DE number 6308820

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    Optimization with Multivariate Conditional Value-at-Risk Constraints (English)
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    26 June 2014
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    multivariate risk aversion
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    conditional value-at-risk
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    multiple criteria
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    cut generation
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    coherent risk measures
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    stochastic dominance
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    Kusuoka representation
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