Stochastic optimization for allocation problems with shortfall risk constraints
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Publication:5430355
DOI10.1002/asmb.671zbMath1143.91014MaRDI QIDQ5430355
Roberto Casarin, Monica Billio
Publication date: 16 December 2007
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.671
stochastic optimization; portfolio optimization; value at risk; risk misspecification errors; shortfall constraint
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