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

zbMATH Open1126.91378MaRDI QIDQ3374071FDOQ3374071

Authors: Carlos E. Testuri, Stanislav P. Uryasev 

Publication date: 9 March 2006

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zbMATH Keywords

linear programmingportfolio optimization

Mathematics Subject Classification ID

Cited In (5)

• Measures of risk
• Numerical aspects of loan portfolio optimization
• A study on modeling the dynamics of statistically dependent returns
• Drawdown beta and portfolio optimization
• Approachability, regret and calibration: implications and equivalences

Uses Software

• GAMS

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