Statistical decision problems. Selected concepts and portfolio safeguard case studies
From MaRDI portal
Publication:2393404
DOI10.1007/978-1-4614-8471-4zbMath1291.90006OpenAlexW2496925983MaRDI QIDQ2393404
Stan Uryasev, Michael Zabarankin
Publication date: 7 August 2013
Published in: Springer Optimization and Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4614-8471-4
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (10)
CVaR (superquantile) norm: stochastic case ⋮ Inverse portfolio problem with coherent risk measures ⋮ Drawdown: from practice to theory and back again ⋮ Value-at-risk support vector machine: stability to outliers ⋮ Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures ⋮ Buffered and reduced multidimensional distribution functions and their application in optimization ⋮ A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs ⋮ Buffered Probability of Exceedance: Mathematical Properties and Optimization ⋮ Regression analysis: likelihood, error and entropy ⋮ Direct data-based decision making under uncertainty
Uses Software
This page was built for publication: Statistical decision problems. Selected concepts and portfolio safeguard case studies