Generalized deviations in risk analysis

DOI10.1007/s00780-005-0165-8zbMath1150.90006OpenAlexW3122167364MaRDI QIDQ2488506

Stan Uryasev, Michael Zabarankin, R. Tyrrell Rockafellar

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-005-0165-8

zbMATH Keywords

portfolio optimizationcoherent risk measuresvalue-at-riskconvex analysisrisk managementconditional value-at-riskdeviation measures

Mathematics Subject Classification ID

Convex programming (90C25) Minimax problems in mathematical programming (90C47) Nonlinear programming (90C30) Optimality conditions and duality in mathematical programming (90C46)

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