Conditional value-at-risk under ellipsoidal uncertainties (Q5506161)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5499155
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Conditional value-at-risk under ellipsoidal uncertainties |
scientific article; zbMATH DE number 5499155 |
Statements
28 January 2009
0 references
conditional value-at-risk (CVaR)
0 references
value-at-risk (VaR)
0 references
interior point algorithm
0 references
ellipsoidal uncertainties
0 references
clustered scenarios
0 references
risk management
0 references
portfolio management
0 references
0.8194916248321533
0 references
0.7987916469573975
0 references
0.7980822324752808
0 references
0.7912033796310425
0 references
