Stochastic optimization for allocation problems with shortfall risk constraints (Q5430355)
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scientific article; zbMATH DE number 5220048
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Stochastic optimization for allocation problems with shortfall risk constraints |
scientific article; zbMATH DE number 5220048 |
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Stochastic optimization for allocation problems with shortfall risk constraints (English)
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16 December 2007
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risk misspecification errors
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portfolio optimization
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stochastic optimization
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shortfall constraint
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value at risk
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0.7915270328521729
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0.7688267827033997
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0.7605133652687073
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0.7597792744636536
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0.7497144937515259
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