The computation of the worst conditional expectation.
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Cites work
- scientific article; zbMATH DE number 44282 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- Coherent measures of risk
- Hyperbolic 0-1 programming and query optimization in information retrieval
- New trends in exact algorithms for the \(0-1\) knapsack problem
- Portfolio Selection and Asset Pricing—Three-Parameter Framework
- Screening location strategies to reduce exchange rate risk
- Stochastic Network Programming for Financial Planning Problems
- The maximum capture problem with random utilities: problem formulation and algorithms
- Variance vs downside risk: Is there really that much difference?
Cited in
(5)- Tail variance of portfolio under generalized Laplace distribution
- PVaR: a new risk measure for financial investments
- Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures
- A relative robust approach on expected returns with bounded CVaR for portfolio selection
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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