Polyhedral coherent risk measures and investment portfolio optimization
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Publication:946748
DOI10.1007/s10559-008-0025-6zbMath1152.91520MaRDI QIDQ946748
Publication date: 24 September 2008
Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10559-008-0025-6
conditional value-at-risk; polyhedral coherent risk measure; catastrophic flood; linear programming technique; optimal portfolio problem
Uses Software
Cites Work
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