Equivalence of the problems with quantile and integral quantile criteria

DOI10.1134/S0005117913020057MaRDI QIDQ2392438zbMATH OpenFDO

Authors A. I. Kibzun, A. I. Chernobrovov

Publication date 1 August 2013

Published in Automation and Remote Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

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Cites work

• Algorithm to solve the generalized Markowitz problem
• Comparison of VaR and CVaR criteria
• Deterministic equivalents for the problems of stochastic programming with probabilistic criteria
• Optimization with Stochastic Dominance Constraints
• Problems in stochastic programming with probabilistic criteria

Cited in

(5)

• General equivalence problem of multi-loss WCVaR
• Discrete approximation in quantile problem of Portfolio selection
• scientific article; zbMATH DE number 1187202 (Why is no real title available?)
• Comparison of VaR and CVaR criteria
• A note on the quantile formulation

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