Optimization with Multivariate Conditional Value-at-Risk Constraints (Q5166262)
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scientific article; zbMATH DE number 6308820
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| English | 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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0.9324969
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0.92042106
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0.9104733
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0.9046218
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0.89387536
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