Equivalence of the problems with quantile and integral quantile criteria

DOI10.1134/S0005117913020057zbMATH Open1273.90134MaRDI QIDQ2392438FDOQ2392438

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

Publication date: 1 August 2013

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

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Mathematics Subject Classification ID

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

Cites Work

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

Cited In (5)

• General equivalence problem of multi-loss WCVaR
• Discrete approximation in quantile problem of Portfolio selection
• Title not available (Why is that?)
• Comparison of VaR and CVaR criteria
• A note on the quantile formulation

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