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On extending the LP computable risk measures to account downside risk - MaRDI portal

On extending the LP computable risk measures to account downside risk (Q2574063)

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On extending the LP computable risk measures to account downside risk
scientific article

    Statements

    title
    On extending the LP computable risk measures to account downside risk (English)
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    author
    Adam Krzemienowski
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    Włodzimierz Ogryczak
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    publication date
    16 November 2005
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    zbMATH Keywords
    portfolio optimization
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    mean-risk
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    stochastic dominance
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    downside risk
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    linear programming
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    Identifiers

    Mathematics Subject Classification ID
    90C05
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    91B28
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    91B70
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    zbMATH DE Number
    2229867
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    OpenAlex ID
    W2026122541
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