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CVaR proxies for minimizing scenario-based value-at-risk - MaRDI portal

CVaR proxies for minimizing scenario-based value-at-risk (Q2438424)

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scientific article
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English
CVaR proxies for minimizing scenario-based value-at-risk
scientific article

    Statements

    title
    CVaR proxies for minimizing scenario-based value-at-risk (English)
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    author
    Helmut E. Mausser
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    Oleksandr Romanko
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    publication date
    11 March 2014
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    zbMATH Keywords
    value-at-risk
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    conditional value-at-risk
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    optimization
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    regularization
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G60
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    91B30
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    90C05
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    90C20
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    90C11
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    65K05
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    zbMATH DE Number
    6268034
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    OpenAlex ID
    W2313059505
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