Worst-case CVaR based portfolio optimization models with applications to scenario planning (Q5891577)
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scientific article; zbMATH DE number 6035833
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Worst-case CVaR based portfolio optimization models with applications to scenario planning |
scientific article; zbMATH DE number 6035833 |
Statements
Worst-case CVaR based portfolio optimization models with applications to scenario planning (English)
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16 May 2012
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portfolio optimization
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conditional value-at-risk (CVaR)
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worst-case CVaR (WCVaR)
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mixture distribution
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box discrete distribution
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generation asset
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