Dual Stochastic Dominance and Quantile Risk Measures

DOI10.1111/1475-3995.00380zbMath1038.91048OpenAlexW2114527257MaRDI QIDQ4806837

Włodzimierz Ogryczak, Ruszczyński, Andrzej

Publication date: 23 June 2003

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1475-3995.00380

zbMATH Keywords

linear programmingportfolio optimizationstochastic dominancemean-riskvalue at risk

Mathematics Subject Classification ID

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