Constructing Risk Measures from Uncertainty Sets

DOI10.1287/opre.1080.0683zbMath1233.91153OpenAlexW2155511751MaRDI QIDQ3100413

Melvyn Sim, Karthik Natarajan, Dessislava A. Pachamanova

Publication date: 24 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1080.0683

zbMATH Keywords

financeportfolio management

Mathematics Subject Classification ID

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Uses Software

• SDPT3

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