On relation between expected regret and conditional value-at-risk

MaRDI QIDQ3374071zbMATH OpenFDO

Authors Carlos E. Testuri, Stanislav P. Uryasev

Publication date 9 March 2006

zbMATH Keywords

linear programmingportfolio optimization

Mathematics Subject Classification ID

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(5)

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• Approachability, regret and calibration: implications and equivalences

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• GAMS

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